How to Display Alert Message Box When User Click ON Closed(X) Button In Windows Application

Of course you need to subscribe to the closing event before using that code. I modified the answer to include that. See if that works now.

Glad to hear that it works. Please accept and upvote the answer to mark it as solved. To close the form automatically after saving you could use the modified code as:
public partial class Form1 : Form
{
public Form1()
{
InitializeComponent();
this.FormClosing +=new FormClosingEventHandler(Form1_FormClosing);
}

private void Form1_FormClosing(object sender, FormClosingEventArgs e)
{
if (e.CloseReason != CloseReason.UserClosing)
return;

if (bForceClose)
return;

if (String.IsNullOrEmpty(textBox1.Text))
{
if (MessageBox.Show("Are you sure you want to close the form?", "Warning", MessageBoxButtons.YesNo) == System.Windows.Forms.DialogResult.No)
e.Cancel = true;
}
else
{
if (MessageBox.Show("You want to save data or not?", "Warning", MessageBoxButtons.YesNo) == System.Windows.Forms.DialogResult.Yes)
{
e.Cancel = true;
}
}
}

bool bForceClose = false;

private void btnSave_Click(object sender, EventArgs e)
{
//Save data...

//Force automatically closing the app
bForceClose = true;
this.Close();
}
}