// header
DECLARE_EVENTSINK_MAP()
void WindowClosing(VARIANT_BOOL IsChildWindow,
        VARIANT_BOOL *Cancel);

// cpp
BEGIN_EVENTSINK_MAP(CWebTestDlg, CDHtmlDialog)
    ON_EVENT(CWebTestDlg, AFX_IDC_BROWSER, DISPID_WINDOWCLOSING, WindowClosing, VTS_BOOL VTS_PBOOL)
END_EVENTSINK_MAP()

void CWebTestDlg::WindowClosing(VARIANT_BOOL IsChildWindow, VARIANT_BOOL *Cancel)
{
    *Cancel = TRUE;
    ShowWindow(SW_HIDE);
}