No.
But you can accomplish pretty much the same thing by including code in the
Unload event of an "always open" form. This could be a hidden form that was
opened at startup or a main app form (i.e., switchboard-like) that only
closes when the user is exiting.
Note that this won't fire if you (as developer) don't have the particular
form open and then close the file. In theory, your users should never be in
that situation.
HTH,