In Windows MFC if you have a dialog based application, do not exit it with <enter> or <esc>.

Dialog.cpp

class CMyDlg : public CDialog
{
  ....
protected:
  afx_msg void OnCancel();
  afx_msg void OnOK();
  afx_msg void OnClose();

  afx_msg void OnMyExit();
  ....
};



BEGIN_MESSAGE_MAP(CMyDlg, CDialog)
  ....
  ON_WM_CLOSE()
  ....
END_MESSAGE_MAP()



void CMyDlg::OnOK()
{
   // We do not want to close in this situation
}

void CMyDlg::OnCancel()
{
   // We do not want to close in this situation
}

void CMyDlg::OnClose() 
{
  CDialog::OnCancel();
}

void CMyDlg::OnMyExit()
{
    OnClose();
}