//Place this code in Form_Load event								
Microsoft.Win32.SystemEvents.SessionEnding += new Microsoft.Win32.SessionEndingEventHandler(SystemEvents_SessionEnding);

// Add this eventhandler in the main form of your application
void SystemEvents_SessionEnding(object sender, Microsoft.Win32.SessionEndingEventArgs e)
{
    MessageBox.Show("Please close the application and then logout or shutdown!");
    e.Cancel = true;
}