Savoir lorsque Windows se ferme

TForm1 = class(TForm)
...
private
procedure WMEndSession( var Msg : TWMEndSession); message WM_ENDSESSION;
public
...
end;

implementation

{$R *.DFM}

procedure TForm1.WMEndSession( var Msg : TWMEndSession);
begin
if Msg.EndSession = true then
ShowMessage('Windows is shutting down !');
inherited;
end;