to close the form .

Query_Unload event is fired, when the form is actually 
preparing for unload. Whereas Form_Unload is triggered when 
form is unloaded. It's possible to stop the form unload 
from Query_Unload event by setting its Cancel argument to 
True.

Query unload means your form is about to close but still not
closed.

Form _unload means your form is released from the memory and
its totally closed. Hence if you want to display any message
you will keep it in Query unload , form unload will not work.

Ex. 

Private Sub Form_QueryUnload(Cancel As Integer, UnloadMode
As Integer)
    MsgBox "do you want to close the form ?", vbYesNo
    if vbno then
       Cancel = True
    end if
End Sub