On Close: MsgBox("Do you want to Save?") or MsgBox("Do you want to quit w/o saving?")

Question

Which is better approach and why.

Answer 1

Instead of a yes/no question, use a question with custom buttons:

The file blah.txt has been modified. Would you like to save or discard it?

+------+    +---------+    +--------+
| Save |    | Discard |    | Cancel |
+------+    +---------+    +--------+