Prevent a user from closing a userform

I know this can be done because I have seen it done before; however, I did not take note of how to do it.

I would like an error message to popup if the user tries to close a user form by pressing the X button in the upper right corner. I would like to force them to have to make one of the selections on the form itself.

I appreciate the help.

Perfect. Thanks for the help.