procedure WMQueryEndSession(var message: TWMQueryEndSession);
message WM_QUERYENDSESSION;

...

procedure TMainFrm.WMQueryEndSession(var message: TWMQueryEndSession);
begin
  message.Result := 1;
  gEndSession := True;
end;

...

procedure TMainFrm.FormCloseQuery(Sender: TObject; var CanClose: Boolean);
begin
  CanClose := True;
  if gQueryEnd and not gEndSession then
    if MessageDlg('Quitting (your app name). Are you sure?',
    mtInformation, mbOKCancel, 0) = mrCancel then
      CanClose := False
end;