Try setting Cancel = True in the Closing event to prevent the form from unloading.

Hi! I have the solution of this Problem

Use This Code :

Private Sub FrmMDI_FormClosing(ByVal sender As Object, ByVal e As System.Windows.Forms.FormClosingEventArgs) Handles Me.FormClosing
    Dim Flag As Integer
    Flag = (MsgBox("Are you sure you want to exit ? ", vbInformation + vbOKCancel, "Exit"))
    If Flag = 2 Then e.Cancel = 1
    End
End Sub

And Your Problem is Solved.
Thank you. :)