Caturing button click event on system message box

Hi experts ,

I am working on a User Form . When I click on close button of the form it prompts a message 'Do you want to save the changes ?' with three buttons 'YES' 'NO' and 'CANCEL' . I want to catch the event of clicking on 'YES' button to add the code to save or update the records change .

Thanking you ,

Regards,

Mayank Sharma