QUESTION
 I am attempting to create an exit dialog message box that prompts the
 user to respond to the question "Are you sure you want to exit?" when
 they either select Close from the system menu or double click on the
 system menu.

ANSWER
 Create an event-to-script connection from closeWidgetRequest (of the
 window) to the following new script in VisualAge :

 okayToClose: aDoit

  aDoit doit:(true == (System confirm:'Are you sure you want to exit?')).