Where does the command start executing?
How can I catch it BEFORE anything happened?
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jkrConnect With a Mentor Commented:
See MFC TN22:

ID_APP_EXIT:   Exit the application.
CWinApp::OnAppExit handles this command by sending a WM_CLOSE message to the application's main window. The standard shutting down of the application (prompting for dirty files and so on) is handled by the CFrameWnd implementation.

Customization of this command handler is not recommended. Overriding CWinApp::SaveAllModified or the CFrameWnd closing logic is recommended.

If you choose to implement this command, we recommend you use this command ID.

Ooops, forgot the link: ("TN022: Standard Commands Implementation")
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