在form的formclosing事件中加上判断：
Private Sub frmSequenceEditor_FormClosing(ByVal sender As Object, ByVal e As System.Windows.Forms.FormClosingEventArgs) Handles Me.FormClosing
If MessageBox.Show("The file has changed!would you like to save?", "Save file", MessageBoxButtons.YesNoCancel) = Windows.Forms.DialogResult.Yes Then '提示是否保存
dlgSaveFile.InitialDirectory = Application.StartupPath
dlgSaveFile.OverwritePrompt = True
dlgSaveFile.Filter = "BurnIN Files(*.DUT)|*.DUT|All Files(*.*)|*.*"
If (dlgSaveFile.ShowDialog(Me) = System.Windows.Forms.DialogResult.OK) Then
Dim FileName As String = dlgSaveFile.FileName
' TODO: Add code here to save the current contents of the form to a file.
Dim str As String = ConfigDataXml(dgvSequence)
DutData.SaveDutFile(FileName, str)
MessageBox.Show("Save To Dut success! The file path is " + FileName)
'end
End If
Else
End If
End Sub