In Tkinter, we can detect when a window is about to be closed by registering a handler function for the WM_DELETE_WINDOW protocol. This can be triggered by clicking on the X button of the title bar on most desktop environments:

import tkinter as tk
import tkinter.messagebox as mb

class Window(tk.Toplevel):
    def __init__(self, parent):
        super().__init__(parent)
        self.protocol("WM_DELETE_WINDOW", self.confirm_delete)

        self.label = tk.Label(self, text="This is another window")
        self.button = tk.Button(self, text="Close", 
                                command=self.destroy)

        self.label.pack(padx=20, pady=20)
        self.button.pack(pady=5, ipadx=2, ipady=2)

    def confirm_delete(self):
        message = "Are you sure you want to close this window?"
        if mb.askyesno(message=message, parent=self):
            self.destroy()

Our handler method displays a dialog to confirm window deletion. In more complex programs, this logic is usually extended with additional validations.