Not clear whether the close  button is a button  you've created, or if it is
the X on the form.

If it's a button, then use its click event.

If it's the X, then look at the terminate and deactivate events for the
form. I think it's the terminate event you want, but put code in for both.

If it is controlling the closing of the userform, using the X button, you can
put this code in the userform  module:

Private Sub UserForm_QueryClose(Cancel As Integer, _
CloseMode As Integer)
If CloseMode = vbFormControlMenu Then
Cancel = True
MsgBox "Please use the OK button."
End If
End Sub

If you are talking about using a command button  on the userform, you need
something like this in the userform module:

Private Sub CommandButton1_Click()
'CommandButton1 is the name assigned to your userform control button.
'Your macro code goes here.
End Sub