Close window confirmation dialog

When the user presses the X button at the top-right corner of the main frame I want him to confirm that he intends to close that frame.
So using windowClosing(WindowEvent e) and windowClosed(WindowEvent e) I display a confirmation dialog (JOptionPane) - the problem is that even when he chooses "No" the frame is being closed.
Doing the same from File->Exit menu works just fine obviously.
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s_lavieAsked:
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savalouCommented:
Have you tried to consume() the event?  

Here's some info on an alternate approach:
http://java.sun.com/docs/books/tutorial/uiswing/components/frame.html#windowevents
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CEHJCommented:
The following combo will do the trick:

setDefaultCloseOperation(JFrame.DO_NOTHING_ON_CLOSE);
addWindowListener(new WindowAdapter() {
      public void windowClosing(WindowEvent e) {
            int returnValue = JOptionPane.showConfirmDialog(null, "Are you sure you want to close?");
            if (returnValue == JOptionPane.YES_OPTION) {
                  System.exit(0);
            }
      }
});
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