How to capture a JFrame's close button click event?

I want to call a method confirmExit() when the red close button of the title bar of a JFrame is clicked.

How can I capture that event?

I'd also like to prevent the window from closing if the user chooses not to proceed.

import javax.swing.JOptionPane;
import javax.swing.JFrame;

/*Some piece of code*/
frame.addWindowListener(new java.awt.event.WindowAdapter() {
    @Override
    public void windowClosing(java.awt.event.WindowEvent windowEvent) {
        if (JOptionPane.showConfirmDialog(frame, 
            "Are you sure you want to close this window?", "Close Window?", 
            JOptionPane.YES_NO_OPTION,
            JOptionPane.QUESTION_MESSAGE) == JOptionPane.YES_OPTION){
            System.exit(0);
        }
    }
});

If you also want to prevent the window from closing unless the user chooses 'Yes', you can add:

frame.setDefaultCloseOperation(JFrame.DO_NOTHING_ON_CLOSE);