Visual Basic 2008 Exit Button?

Ok i dont just want a button which when i press to terminate the program. i know how to do that. i want went i press a button a message box to pop up with the options Yes and No and if i press Yes its then terminates the program and hence if i press No it goes back to the form.

Private Sub Form1_FormClosing(ByVal sender As Object, ByVal e As System.Windows.Forms.FormClosingEventArgs) Handles Me.FormClosing
If MessageBox.Show("Close", "Closing Application", MessageBoxButtons.YesNo) = Windows.Forms.DialogResult.Yes Then
Exit Sub
End If
e.Cancel = True
End Sub

it might be something like (bare in mind I use VB6 so it may differ)

If msgbox ("Are you sure you wish to quit?", vbYesNo) = vbYes then
Unload me
Else
End If