Situation:
Open a text file in n++, make some modification, press ALT-F4 or Close program. The N++ won\'t ask \"Do you want to save your changes\". Instead it quits
New feature added in Notepad 6.6 for which the release notes say:
The main feature of this release is Session snapshot & periodic backup. If this feature is enabled (enabled by default), user won't be asked to save unsaved file as he quits Notepad++, and on startup Notepad++ restores the unsaved file and unsaved untitled document of last session.
This facility is controlled via menu => Settings => Preferences => Backup. For more details see also this section of the Notepad++ User Manual.