Win32应用程序主要有两种类型:控制台应用程序(Console)和窗体程序(Winform)，他们使用不同的方式处理应用程序退出。

要强制窗体程序(Winform)退出，你需要发送WM_CLOSE消息到主窗口句柄。.NET中可以使用Application.ApplicationExit或Form.Close。

在控制台应用程序，这点有所不同。控制台应用程序有点模仿DOS控制台应用程序，通常是在应用程序退出时，进程（命令）执行结束或Ctrl - C被按下。

在C＃中，可以使用代理（委托）SetConsoleCtrlHandler 来实现。

代码如下：

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using System;
using System.Threading;
using System.Runtime.InteropServices;

// A simple class that exposes two static Win32 functions.
// One is a delegate type and the other is an enumerated type.
public class MyWin32
{
    // Declare the SetConsoleCtrlHandler function
    // as external and receiving a delegate.   
    [DllImport("Kernel32")]
    public static extern Boolean SetConsoleCtrlHandler(HandlerRoutine Handler,
        Boolean Add);

    // A delegate type to be used as the handler routine
    // for SetConsoleCtrlHandler.
    public delegate Boolean HandlerRoutine(CtrlTypes CtrlType);

    // An enumerated type for the control messages
    // sent to the handler routine.
    public enum CtrlTypes
    {
        CTRL_C_EVENT = 0,
        CTRL_BREAK_EVENT,
        CTRL_CLOSE_EVENT,
        CTRL_LOGOFF_EVENT = 5,
        CTRL_SHUTDOWN_EVENT
    }
}

public class MyApp
{
    // A private static handler function in the MyApp class.
    static Boolean Handler(MyWin32.CtrlTypes CtrlType)
    {
        String message = "This message should never be seen!";

        // A switch to handle the event type.
        switch (CtrlType)
        {
            case MyWin32.CtrlTypes.CTRL_C_EVENT:
                message = "A CTRL_C_EVENT was raised by the user.";
                break;
            case MyWin32.CtrlTypes.CTRL_BREAK_EVENT:
                message = "A CTRL_BREAK_EVENT was raised by the user.";
                break;
            case MyWin32.CtrlTypes.CTRL_CLOSE_EVENT:
                message = "A CTRL_CLOSE_EVENT was raised by the user.";
                break;
            case MyWin32.CtrlTypes.CTRL_LOGOFF_EVENT:
                message = "A CTRL_LOGOFF_EVENT was raised by the user.";
                break;
            case MyWin32.CtrlTypes.CTRL_SHUTDOWN_EVENT:
                message = "A CTRL_SHUTDOWN_EVENT was raised by the user.";
                break;
        }

        // Use interop to display a message for the type of event.
        Console.WriteLine(message);

        return true;
    }

    public static void Main()
    {

        // Use interop to set a console control handler.
        MyWin32.HandlerRoutine hr = new MyWin32.HandlerRoutine(Handler);
        MyWin32.SetConsoleCtrlHandler(hr, true);

        // Give the user some time to raise a few events.
        Console.WriteLine("Waiting 30 seconds for console ctrl events...");

        // The object hr is not referred to again.
        // The garbage collector can detect that the object has no
        // more managed references and might clean it up here while
        // the unmanaged SetConsoleCtrlHandler method is still using it.      

        // Force a garbage collection to demonstrate how the hr
        // object will be handled.
        GC.Collect();
        GC.WaitForPendingFinalizers();
        GC.Collect();

        Thread.Sleep(30000);

        // Display a message to the console when the unmanaged method
        // has finished its work.
        Console.WriteLine("Finished!");

        // Call GC.KeepAlive(hr) at this point to maintain a reference to hr.
        // This will prevent the garbage collector from collecting the
        // object during the execution of the SetConsoleCtrlHandler method.
        GC.KeepAlive(hr);
        Console.Read();
    }
}

参考：http://msdn.microsoft.com/en-us/library/s50zac30(vs.71).aspx