How to show optionPane after clicking on close cross

Hi,
i have little app which stores some data about customers. Those data are stored in .txt file. Now my question is. When i click on menu item Quit is performed action which saves all new data, then rewrites the the file and exits the program. But when the user quit the app by clicking close cross, the data will not save at all. So how can i modify the defaultCloseOperation.EXIT_ON_CLOSE?? I want to display after closing the program a option pane which says: Are you sure to quit...or something like that.

How to Write Window Listeners (The Java™ Tutorials > Creating a GUI With JFC/Swing > Writing Event Listeners)

Closing an Application « Java Tips Weblog

Hi again,
I thank you for helping me. Now i can figure our how to do that.