What message I receive when I kill my program with

So I have a C++ dll, that I am using in my c# application, for monitoring Windows Messages. I want to know if WM_CLOSE and WM_QUERYENDSESSION are send because I can't see that from a C# application. If I get one of these messages, I want to do some cleanup with my files but the problem is when I kill it with TM the functions don't work. It seams that I don't get the messages. I think the problem is that Task Manager sends a message to the C# app and not to the c++ dll.

Some Code:

c++:

typedef void (*CLOSING_FUNCTION)();
CLOSING_FUNCTION myClosingFunction;

typedef void (*SHUTDOWN_FUNCTION)();
SHUTDOWN_FUNCTION myShutdownFunction;

LRESULT CALLBACK WndProc(HWND hwnd, UINT message, WPARAM wParam, LPARAM lParam)
{
    switch(message)
    {

    case WM_CREATE:
        return 0;

    case WM_CLOSE:
        myClosingFunction();
        return 0;

    case WM_QUERYENDSESSION:
        myShutdownFunction();
        return 1;

    case WM_DESTROY:
        myClosingFunction();
        PostQuitMessage(0);
        return 0;
    }

    return DefWindowProc(hwnd, message, wParam, lParam);
}

c#:

[UnmanagedFunctionPointer(CallingConvention.Cdecl)]
private delegate void Close_Function();
private static Close_Function myCloseDelegate;

[UnmanagedFunctionPointer(CallingConvention.Cdecl)]
private delegate void Shutdown_Function();
private static Shutdown_Function myShutdownDelegate;
static void StartMonotoring()
{
       myCloseDelegate = Close;
       myShutdownDelegate = Shutdown;

       InterceptMessages(myCloseDelegate, myShutdownDelegate);
}

static void Close();
static void Shutdown();

Your process will not get any messages in case if it is being killed. Start on TerminateProcess - see my highlight:

The TerminateProcess function is used to unconditionally cause a process to exit. The state of global data maintained by dynamic-link libraries (DLLs) may be compromised if TerminateProcess is used rather than ExitProcess.

This function stops execution of all threads within the process and requests cancellation of all pending I/O...

EDIT: Hans Passant comment on way tasks terminated - You only get WM_CLOSE when using the Applications tab in task manager. Killing it from the Processes tab is a rude termination (TerminateProcess).