You are not comparing the response from the Msgbox.

   If vbNo Then

is a shorthand for ...

   If vbNo = true Then

What actually happens is that vbNo (a number) is coerced to a boolean value
so that the comparison can be made. Zero is coerced to False and all other
numbers are coerced to True. vbNo (7) is thus considered always equal to
True.

You should be doing something like ..

   If MsgBox("Are you sure you want to quit?", vbQuestion + vbYesNo) = vbNo
then

--
Enjoy,
Tony

Susan was telling us:
Susan nous racontait que :

Because you re coding in a "lazy" manner.

Not that I am trying to blame you or anything like that... Even Microsoft
often posts "lazy" code as examples on their web sites... It is
unfortunately all too common.

vbNo is a constant that equals 7
vbYes equals 6

When you write
   If vbNo Then
you are assuming that the compiler will read the user's thoughts and infer
that the vbNo in that statement is somehow connected to the previous MsgBox
statement... What if you had 2 more MsgBox in the code? Or other code that
also uses vbNo as a constant. What would the compiler infer then?
So, since the compiler will never make such assumptions, the line
   If vbNo Then
is in fact compiled like this:
   If vbNo is True Then
and since vbNo is always equal to 7, the line is always true.

What you want is something like this:

Dim intResponse As Integer

intResponse = MsgBox("Are you sure you want to quit?", vbQuestion + vbYesNo)
   If intResponse = vbNo Then
   Exit Sub
Else
   Unload Me
End If