If you want to do it all from code behind put this in your windows .cs file
namespace WpfApplication1
{
    /// <summary>
    /// Interaction logic for MainWindow.xaml
    /// </summary>
    public partial class MainWindow : Window
    {
        public MainWindow()
        {
            InitializeComponent();
            this.Closed += new EventHandler(MainWindow_Closed);
        }
        void MainWindow_Closed(object sender, EventArgs e)
        {
            //Put your close code here
        }
    }
}
If you want to do part in xaml and part in code behind do this in xaml
<Window x:Class="WpfApplication1.MainWindow"
        xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
        xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
        Title="MainWindow" Height="350" Width="525" Closed="MainWindow_Closed">
    <Grid>
    </Grid>
</Window>
and this in .cs
namespace WpfApplication1
{
    /// <summary>
    /// Interaction logic for MainWindow.xaml
    /// </summary>
    public partial class MainWindow : Window
    {
        public MainWindow()
        {
            InitializeComponent();
        }
        void MainWindow_Closed(object sender, EventArgs e)
        {
            //Put your close code here
        }
    }
}
The above to examples you can apply to any form in a xaml app.  You can have multiple forms.  If you want to apply code for the entire application exit process modify your app.xaml.cs file to this
namespace WpfApplication1
{
    /// <summary>
    /// Interaction logic for App.xaml
    /// </summary>
    public partial class App : Application
    {
        protected override void OnExit(ExitEventArgs e)
        {
            try
            {
                //Put your special code here
            }
            finally
            {
                base.OnExit(e);
            }
        }
    }
}