Options for X button in Window Mode?

I cant seem to find anything on how to do it, but I seen other games made with this that did it so maybe someone can help me. I want to either remove the X button to close the window, or to make a Popup, like a Confirm to Quit before it just exits. I made a GUI Interface that works with exit buttons i put in the game, just dont know how to make the X button run it as well. Any ideas would be helpfull :)