http://wxpython.org/docs/api/wx.CloseEvent-class.html
You should check whether the application is forcing the deletion of the window
using CanVeto(). If it returns False, you must destroy the window using wx.Window.Destroy.
If the return value is True, it is up to you whether you respond by destroying the window or not.
For example you may wish to display a message dialog prompting to save files or to cancel the close.