Use the BeforeClose() event. You didn't say exactly what you want to do before the workbook closes, so here's some general instructions:
Press Alt-F11 to open the VBE.
Press Control-R to open the Project Explorer. (May be open.)
Click "Microsoft Excel Objects" for the file you're working on (should expand the list of the ThisWorkbook module and any sheet modules.)
Double-click the ThisWorkbook module.
Select Workbook, and Before Close from the dropdowns.
Put your code in the right-hand window.
Press Alt-Q to close the VBE and return to Excel.