gistfile1.py

from PyQt4.QtCore import *
from PyQt4.QtGui import *
import sys

def Log_Closed():
    print "Bye bye"

class My_dlg(QDialog):
  def __init__(self, parent=None):
    QDialog.__init__( self, parent )

    #self.conn = open_connection()
    print "Connection Opened"

    close_btn  = QPushButton("Actually Close")
    QVBoxLayout(self).addWidget(close_btn)

    close_btn.clicked.connect(self.Actually_Close)
    self.destroyed.connect(Log_Closed)

    # If false, the dialog won't delete itself on close.
    self.setAttribute(Qt.WA_DeleteOnClose, False)

  def Actually_Close(self):
    print "Actually Close"  
    self.deleteLater()

if __name__ == "__main__":
  app = QApplication(sys.argv)

  # If true, don't quit when the dialog is closed.
  app.setQuitOnLastWindowClosed(False)

  main= QMainWindow()
  tsd = My_dlg(main)
  tsd.show()
  sys.exit(app.exec_())