I have an external application that calls my application and is supposed to end it when the job is done. The log from this external application claims it uses WM_CLOSE
You could just handle WM_CLOSE in your message loop to do whatever cleanup is necessary, or even abort the close (by returning 1 instead of 0). See e.g. this: http://cboard.cprogramming.com/windows-programming/141438-handling-wm_close-wm_destroy.html#post1056273
Edit: for console applications, this may be of interest: http://support.microsoft.com/kb/178893