"On Exit" for a Console Application

I am looking for a way to trigger a piece of code when a console application is manually closed (users closes window). Been trying with:

AppDomain.CurrentDomain.ProcessExit +=
    new EventHandler(CurrentDomain_ProcessExit);

but the above doesn't work if manually closed.

Is there any ways to use a .Net call for this or do I need to import the Kernel dll and do it that way?