Gerenciando Fechamento de telas

package guj;

import java.awt.BorderLayout;
import java.awt.event.WindowAdapter;
import java.awt.event.WindowEvent;

import javax.swing.JFrame;
import javax.swing.JOptionPane;
import javax.swing.JPanel;
import javax.swing.SwingUtilities;

public class ExemploFechar extends JFrame {

    private static final long serialVersionUID = 1L;
    private JPanel jContentPane = null;

    public static void main(String[] args) {
        SwingUtilities.invokeLater(new Runnable() {
            public void run() {
                ExemploFechar thisClass = new ExemploFechar();
                thisClass.setDefaultCloseOperation(JFrame.DO_NOTHING_ON_CLOSE); //  importante
                thisClass.setVisible(true);
            }
        });
    }

    public ExemploFechar() {
        super();
        initialize();
    }

    private void initialize() {
        this.setSize(300, 200);
        this.setContentPane(getJContentPane());
        this.setTitle("Exemplo");
        this.addWindowListener(new WindowAdapter() { // importante
            @Override
            public void windowClosing(WindowEvent e) {
                int ret = JOptionPane.showConfirmDialog(ExemploFechar.this, "Deseja sair do programa?");
                if (ret == JOptionPane.YES_OPTION) {
                    System.exit(0); // cai fora
                }
            }
        });
    }

    private JPanel getJContentPane() {
        if (jContentPane == null) {
            jContentPane = new JPanel();
            jContentPane.setLayout(new BorderLayout());
        }
        return jContentPane;
    }

}