.Net 2.0 Added a lot in the way of allowing programmers to easily interact with Windows. One of the best additions is the Microsoft.Win32.SystemEvents class. It holds events for a lot of system relatied events (hence the name).
A common scenario I see on the forums is users wanting to respond to a system shutown event. The easiest way to access this from managed code is the Microsoft.Win32.SystemEvents.SessionEnding event. This is not exactly the shutdown event because it actually represents the user session that the program is running in. A session is created when you log into the system and is destroyed when you log off or shutdown the computer (which eventually forces a logoff :) ).
The arguments provide two pieces of useful information. The first being the reason for the session ending (logoff or shutdown). It also allows you to cancel the event via the Cancel property. For example the following code will prevent the shutdown of the computer as long as the program is running.
AddHandler SystemEvents.SessionEnding AddressOf PreventShutdownHelper
Sub PreventShutdownHelper(ByVal sender As Object, ByVal args As SessionEndingEventArgs)
If args.Reason = SessionEndReasons.Shutdown Then
args.Cancel = True
While this will prevent the shutdown from occurring you will see many of the apps on your screen close. That's because some of them get the shutdown event before your app and most will close as a result.
There are a couple of caveats that come with using this event.
That aside, if you just need to save some data and or do some quick book keeping before exiting this will do the trick.