Users who wanted to be warned when they close Outlook could use the trick listed at Do You Accidentally Close Outlook? (works for all older versions). This involved saving a draft message and dragging it to the Outbox. Very simple and it worked well.
Update June 29 2011: Outlook 2010 SP1 displays a warning if an unsent message is in the Outbox. While you can't use a draft message, you can set up a message with delayed delivery (far into the future) enabled to trigger the warning.
Instructions are at How to stop accidentally closing Outlook
Unfortunately, its broken in Outlook 2010 (released version) if you use
POP3, IMAP, or Outlook Connector. Drafts won’t kick in the “Are you sure you want to close dialog.” Based on complaints, real mail left in the Outbox doesn’t kick off this dialog either.
To help prevent accidently closing you can set outlook to always do a send/receive on close – this may give you a quick second or two (unless you only have an account or two) to cancel the send/receive (and the closure) and it will send waiting messages.
And if all else fails, try OLKeeper
Published March 18, 2011. Last updated on May 8, 2014.