string message = "Do you want to abort this operation?";
string title = "Close Window";
MessageBoxButtons buttons = MessageBoxButtons.AbortRetryIgnore;
DialogResult result = MessageBox.Show(message, title, buttons, MessageBoxIcon.Warning);
if (result == DialogResult.Abort) {
this.Close();
}
elseif(result == DialogResult.Retry) {
// Do nothing
}
else {
// Do something
}