import sys

from PyQt5.QtWidgets import QApplication, QWidget, QMessageBox

​

class Example(QWidget):

    def __init__(self):

        super().__init__()

        self.initUI()

    def initUI(self):

        self.setGeometry(300, 300, 250, 150)

        self.setWindowTitle('Example')

        self.show()

    def closeEvent(self, event):

        reply = QMessageBox.question(self, 'Message', 'Are you sure you want to quit?', QMessageBox.Yes | QMessageBox.No, QMessageBox.No)

        if reply == QMessageBox.Yes:

            event.accept()

        else:

            event.ignore()

if __name__ == '__main__':

    app = QApplication(sys.argv)

    ex = Example()

    sys.exit(app.exec_())

​

​

This example creates a simple PyQt5 GUI with a window that displays the text "Example". When the user clicks the "X" button to close the window, a QMessageBox pops up with the message "Are you sure you want to quit?" and options to click "Yes" or "No". If the user clicks "Yes", the application exits. If the user clicks "No", the application continues running.

​

You can customize the QMessageBox by changing the message text, the buttons, the icons, and other properties. The QMessageBox documentation in PyQt5 provides more details on the available options.