#include <GUIConstantsEx.au3>
Global Const $MK_LBUTTON = 0x1

$Gui = GUICreate("кликни меня", 500, 150)

GUISetState()

GUIRegisterMsg(0x0201, "WM_LBUTTONDOWN")
While 1
$msg = GUIGetMsg()
if  $msg = $GUI_EVENT_CLOSE then
ExitLoop
endif
WEnd

Func WM_LBUTTONDOWN($hWnd, $MsgId, $wParam, $lParam)
If $wParam = $MK_LBUTTON Then
msgbox(0,"Сообщение","Программа завершается")
Exit(0)
EndIf
EndFunc