I'd use this, to finally close the master

Code:
Option Explicit

Dim AllowUnload As Boolean

Private Sub MDIForm_Load()
    Form1.Show
    Form2.Show
    Form3.Show
End Sub

Private Sub MDIForm_QueryUnload(Cancel As Integer, UnloadMode As Integer)
    If UnloadMode = vbFormControlMenu Then
        AllowUnload = True
    End If
End Sub

Private Sub MDIForm_Unload(Cancel As Integer)
    If AllowUnload Then
        Exit Sub
    End If
        Cancel = True
    AllowUnload = True
End Sub

Private Sub mnuClose_Click()
    AllowUnload = False
    Unload Me
End Sub

Private Sub mnuExit_Click()
    AllowUnload = True
    Unload Me
End Sub