Yes. You need to override the default close behaviour of the QWidget representing your application so that it doesn't immediately accept the event. The basic structure you want is something like this:
def closeEvent(self, event):
quit_msg = "Are you sure you want to exit the program?"
reply = QtGui.QMessageBox.question(self, 'Message',
quit_msg, QtGui.QMessageBox.Yes, QtGui.QMessageBox.No)
if reply == QtGui.QMessageBox.Yes:
event.accept()
else:
event.ignore()
The PyQt tutorial mentioned by las3rjock has a nice discussion of this. Also check out the links from the PyQt page at Python.org, in particular the official reference, to learn more about events and how to handle them.
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