Application Close

If you use the system menu or system bar to close the dialog a WM_SYSCOMMAND with SC_CLOSE is sent, which is translated into a WM_CLOSE.

I told you WM_CLOSE is sent. That means OnClose() gets called by the framework.

You have to handle the WM_CLOSE message, which means:
1) you enter ON_WM_CLOSE() in the message map

BEGIN_MESSAGE_MAP(CYourDlg, CDialog)
//{{AFX_MSG_MAP(...)
ON_WM_SYSCOMMAND()
ON_WM_PAINT()
ON_WM_QUERYDRAGICON()
...
ON_WM_CLOSE()
//}}AFX_MSG_MAP
END_MESSAGE_MAP()

2)you enter in your dialogs .h file:

afx_msg void OnClose();

3) in your .cpp you write the body of the function:

void CYourDlg::OnClose()
{
//enter other code here
CDialog::OnClose();
}

In other words you override the CDialog::OnClose() function.

Now, if you press the X, the OnCancel() member function is called, you should override that.