You can use code similar to this in a command button that will close the form. Be sure and remove the X in the upper right of the form so that user has to use your command button to close the form:
CODE
If Me.NewRecord Then
Select Case MsgBox("Do you want to save this record?", vbYesNo Or vbExclamation Or vbDefaultButton1, Application.Name)
Case vbYes
'do nothing
Case vbNo
Me.Undo
End Select
End If
DoCmd.Close
There are a lot of ways to skin this particular Access cat and this is just one of them...
hth,
Jack