CancelEventArgs - how to use

Can you explain in detail what is happening in this example from VB2003 help and what else I need to know about CancelEventArgs?

[Visual Basic, C#, C++] The following example uses a CancelEventArgs and a CancelEventHandler to handle the Closing event of a Form. This code assumes that you have created a Form with a class-level Boolean variable named myDataIsSaved.

[Visual Basic]
' Calls this method from the InitializeComponent() method of your form.
Private Sub OtherInitialize()
    AddHandler Me.Closing, AddressOf Me.Form1_Cancel
    Me.myDataIsSaved = New Boolean()
    Me.myDataIsSaved = True
End Sub 'OtherInitialize

Protected Sub Form1_Cancel(sender As Object, e As CancelEventArgs)
    If Not myDataIsSaved Then
        e.Cancel = True
        MessageBox.Show("You must save first.")
    Else
        e.Cancel = False
        MessageBox.Show("Goodbye.")
    End If
End Sub 'Form1_Cancel