My solution: write this in the second function written by guide (my_gui_OpeningFcn):
     set(handles.figure1,'CloseRequestFcn',@closeGUI;
Then write an extra function like this:
     function closeGUI(hObject, eventdata, handles)
       selection = questdlg(Close MyGUI?', ...
  'Warning', ...
  'Yes','No','Yes');
     switch selection
         case 'Yes'
           delete(gcf)
        case 'No'
           return
        end