Under POSIX OS there is signal API that allows to send a signal to process to shut it down with kill and you can catch it with sigaction and do what you need;
However, Win32 is not POSIX system, so:
I'm not talking about GUI, I'm talking about TCP/IP server that should be nicely shutdown. that does not run like windows service.
You get a WM_QUIT
message on your first created thread.
When you don't handle that, your process is forcibly shutdown.
So just implement a message queue in your first thread, which looks for the WM_QUIT
message