1 .CXTWndHook::WindowProc(message, wParam, lParam) to get all messages.

2. void CMyMainFrame::OnSysCommand(UINT nID, LPARAM lp)
{
  if (nID==SC_CLOSE) {
//    ... // handle it
    return ;
  }
  // pass to base class: important!
  return CXTPFrameWnd::OnSysCommand(nID, lp);
}

void CMyMainFrame::OnSysCommand(UINT nID, LPARAM lp)
{
  if (nID==SC_CLOSE) {
//    ... // handle it
    return ;
  }
  // pass to base class: important!
  return CXTPFrameWnd::OnSysCommand(nID, lp);
}

 

Show code you tried. 

WM_SYSCOMMAND +SC_CLOSE send if user press "X" buttton, but may be not if user Close using Alt+F4. 

So also try catch standard WM_CLOSE message

 Good day. I would like to use CXTWndHook.

 I tried with the above mentioned WM_SYSCOMMAND and SC_CLOSE. It is not working properly

 

See in MSDN WM_SYSCOMMAND and SC_CLOSE