How to do dirty check on a win form?

I am doing dirty check on my form. But when the user navigates away from the
form i need to prompt the user to save. I am showing a message box with
Yes/No/Cancel Buttons. Yes should save. No should ignore changes and on
cancel should stay in the same form.

I dont know on which event i should show the Message box prompting the user
to save. When i do it on leave its showing the form i need to show after
leaving. When i do it on validating event by setting e.cancel = true its
suppressing all the events after tat. Anyone has any idea how to do this
dirty check
.