调用QDialog::reject ()隐藏对话框而不是关闭它。要在拒绝QDialog刚刚重新实现reject插槽之前显示提示:
#!/usr/bin/env python
#-*- coding:utf-8 -*-
from PyQt4 import QtCore, QtGui
class myDialog(QtGui.QDialog):
    def __init__(self, parent=None):
        super(myDialog, self).__init__(parent)
        self.buttonBox = QtGui.QDialogButtonBox(self)
        self.buttonBox.setGeometry(QtCore.QRect(30, 240, 341, 32))
        self.buttonBox.setOrientation(QtCore.Qt.Horizontal)
        self.buttonBox.setStandardButtons(QtGui.QDialogButtonBox.Cancel|QtGui.QDialogButtonBox.Ok)
        self.buttonBox.accepted.connect(self.accept)
        self.buttonBox.rejected.connect(self.reject)
        self.msgBox = QtGui.QMessageBox(self) 
        self.msgBox.setText("Are you sure you want to exit the program?")
        self.msgBox.setStandardButtons(QtGui.QMessageBox.Yes | QtGui.QMessageBox.No)
        self.msgBox.setDefaultButton(QtGui.QMessageBox.Yes)
    @QtCore.pyqtSlot()
    def reject(self):
        msgBoxResult = self.msgBox.exec_()
        if msgBoxResult == QtGui.QMessageBox.Yes:
            return super(myDialog, self).reject()
if __name__ == "__main__":
    import sys
    app = QtGui.QApplication(sys.argv)
    app.setApplicationName('myDialog')
    main = myDialog()
    main.resize(400, 300)
    main.show()
    sys.exit(app.exec_())