[Ildar-tsr]

Код:

var
  msg_: boolean;
...
procedure TForm1.SaveButton(Sender: TObject);
begin
  msg_:= false;
end;

procedure TForm1.StringGrid1KeyDown(Sender: TObject; var Key: Word;
  Shift: TShiftState);
begin
  msg_:= true;
end;

procedure TForm1.CloseQuery(Sender: TObject);
begin
  if msg_ then
    MessageBox();
end;