The WM_QUERYENDSESSION message is sent when the user chooses to end the session or when an application calls one of the system shutdown functions. If any application returns zero, the session is not ended. The system stops sending WM_QUERYENDSESSION messages as soon as one application returns zero.
After processing this message, the system sends the WM_ENDSESSION message with the wParam parameter set to the results of the WM_QUERYENDSESSION message.
A window receives this message through its WindowProc function.
看MSDN上的说明,如果返回0,应该会阻止消息的发送,会话也不会被结束。但测试始终会关机,不解。