End Session and Dialogs

Hi,

I have a small problem. I have written a dialog based tool which starts automatically from Autostart. If the user shut down the system it should save some settings in an ASCII file. Can anyone tell me where I have to write my code to save the settings. In an frame window it is easy to get the WM_QUERYENDMESSAGE but how I could do this in a dialog?
By the way: I'm using MFC.

Thanx Andi

PS: I tried to set the save function in the destructor of the dialog but this won't work! Strange; does this mean that windows don't call the dialog destructor?