as logit has said the beforeClose thisworkbook is ideal for what you want, but you dont need to ask the user to do anything.
If you open the this workbook Module in the VBA editor you will see drop downs at the top the one on the left (general) can be changed to Workbook (it acts when the workbook does something).
The one on the right is the thing that happens - there is quite a few, but some are really obvious like BeforeClose.
Select BeforeClose and a automated Private Sub will open called Workbook_BeforeClose
In between the 2 lines put in anythng you want to happen before the workbook is closed, for example
Code:
Private Sub Workbook_BeforeClose(Cancel As Boolean)
ActiveWorkbook.Save
Worksheets("Form").Protect
End Sub
Be careful with the Activeworkbook.save though because if the user does something stupid like delete all the data and then they close it because they panic it will save with all the data lost