Exit confirmation

Hello!

These days I’m having my first contacts with Flash (MX 2004), and so far I’m satisfied. I am preparing a small educational software for my students and I got stucked with “exit confirmation” (or whatever is the right name for it).
I want my presentation to be shaded when a user clicks the exit button (that I inserted -not the window’s one) and a typical question to show up “Are you sure that you want to stop learning so fast” Yes/No. If Y=close, if N=continue.

Thanks in advance!
Binotaur