from Tkinter import *
import tkMessageBox
def protocolhandler():
if tkMessageBox.askokcancel("Exit", "Wanna leave?"):
if tkMessageBox.askokcancel("Exit", "Are you sure?"):
if tkMessageBox.askokcancel("Exit", "Really?"):
root.destroy()
root = Tk()
root.protocol("WM_DELETE_WINDOW", protocolhandler)
root.mainloop()