In the "ThisOutlookSession" module, you can use something like this:
Private Sub Application_ItemSend(ByVal Item As Object, Cancel As Boolean)
If MsgBox("Yes or no?", vbYesNo) = vbNo Then Cancel = True
End Sub
It prompts with a "Yes/No" message box (because of the vbYesNo argument) and then you provide a True boolean value to "Cancel" based on the response to the dialog. Also, at least on Windows 7, the red "x" is disabled when using the yes/no prompt. But if not, then I would do something like this:
Private Sub Application_ItemSend(ByVal Item As Object, Cancel As Boolean)
Cancel = True
If MsgBox("Yes or no?", vbYesNo) = vbNo Then Cancel = True Else Cancel = False
End Sub
Thus, it always cancels unless they say "Yes" specifically.