message box on startup

Assuming they won't have made any changes if they say no then there will be no need to save the document you could use:

Private Sub Workbook_Open()

Dim Answer As VbMsgBoxResult
Answer = MsgBox("Do you want to continue ?", _
    vbYesNo, "My Title")
If Answer = vbNo Then
    Application.Quit
End If

End Sub

What about if they have other workbooks open though?

Dom