How do you cancel a ToolWindowPane or Visual Studio IDE close operation via a VSPackage?

I have a VSPackage with a dockable tool window containing form data.  If there are unsaved changes in this form, I would like to cancel a close to either the tool window and the visual studio IDE if the user clicks cancel on saving changes before closing.  I can perform the save test on close, but I don't see any event handler methods or other options to actually cancel the close.

Here is some blurb from the package:

        private DTE2 _applicationObject = null;
        ///--------------------------------------------------------------------------------
        /// <summary>This property gets the visual studio IDE application object.</summary>
        ///--------------------------------------------------------------------------------
        public DTE2 ApplicationObject
        {
            get
            {
                if (_applicationObject == null)
                {
                    // Get an instance of the currently running Visual Studio IDE
                    DTE dte = (DTE)GetService(typeof(DTE));
                    _applicationObject = dte as DTE2;
                }
                return _applicationObject;
            }
        }
        ///--------------------------------------------------------------------------------
        /// <summary>
        /// Initialization of the package; this method is called right after the package is sited, so this is the place
        /// where you can put all the initialization code that rely on services provided by VisualStudio.
        /// </summary>
        ///--------------------------------------------------------------------------------
        protected override void Initialize()
        {
            Trace.WriteLine(string.Format(CultureInfo.CurrentCulture, "Entering Initialize() of: {0}", this.ToString()));
            base.Initialize();

            // add the event handlers
            if (ApplicationObject != null)
            {
                // wire up window events
                PackageWindowEvents = (WindowEvents)ApplicationObject.Events.get_WindowEvents(null);
                PackageWindowEvents.WindowClosing += new _dispWindowEvents_WindowClosingEventHandler(PackageWindowEvents_WindowClosing);

                // wire up solution events
                PackageSolutionEvents = ApplicationObject.Events.SolutionEvents;
                PackageSolutionEvents.Opened += new _dispSolutionEvents_OpenedEventHandler(CheckOpenCurrentSolution);

                // wire up DTE events
                PackageDTEEvents = ApplicationObject.Events.DTEEvents;
                PackageDTEEvents.OnBeginShutdown += new _dispDTEEvents_OnBeginShutdownEventHandler(HandleVisualStudioShutdown);
            }
        }

        void PackageWindowEvents_WindowClosing(Window window)
        {
            // handle save/cancel scenarios
        }

And some blurb from the ToolWindowPane that implements IVsWindowFrameNotify3:

        protected override void OnClose()
        {
            base.OnClose();
        }
        public int OnClose(ref uint pgrfSaveOptions)
        {
            return (int)__FRAMECLOSE.FRAMECLOSE_PromptSave;
        }

The OnClose and window closing methods fire when expected, but I'm not finding a way to cancel the close.  What am I missing?  Are there different events required to cancel a close?