Hook firefox window to get WM_CLOSE & WM_QUIT

I'd like to make a DLL, which I inject into firefox upon starting. This DLL would look for thoose two events (WM_CLOSE / WM_QUIT). If it's found, then it executes some code, BUT the main process shouldn't quit, since it would terminate my dll too :)
I'm really noobie in C++ and any kind of programming, I'm still learning a lot. I've got no idea how to start. I've already made the injectable DLL.

I tried to set up a Callback, but obviously it isn't working. Could you help me how could I run my own code before closing the firefox?

Thanks for the help!