Message before Closing Child window

Using protocol

my_w.protocol('WM_DELETE_WINDOW', my_msg)

import tkinter as tk
from tkinter import * 
import tkinter.messagebox as msgbox
my_w = tk.Tk()
my_w.geometry("400x200")  # Size of the window 
my_w.title("www.plus2net.com")  # Adding a title

# create one lebel 
l1 = tk.Label(my_w,  text='Welcome' )
l1.grid(row=1,column=2) 

b1 = tk.Button(my_w, text='Clik me to Close',
               command=lambda:my_msg())
b1.grid(row=2,column=2) 
def my_msg():
        #msgbox.showinfo(title='', message='Thank You') #message box
        l2=tk.Label(my_w,text='Thank you')
        l2.grid(row=2,column=3) # show message in grid
        my_w.after(3000, my_w.quit) # close window after 3 seconds
my_w.protocol('WM_DELETE_WINDOW', my_msg)    

my_w.mainloop()

Using child window

import tkinter as tk
from tkinter import * 
import tkinter.messagebox as msgbox
my_w = tk.Tk()
my_w.geometry("400x200")  # Size of the window 
my_w.title("www.plus2net.com")  # Adding a title

# create one lebel 
my_str = tk.StringVar()
l1 = tk.Label(my_w,  textvariable=my_str )
l1.grid(row=1,column=2) 
my_str.set("Hi I am main window")

b1 = tk.Button(my_w, text='Clik me to open new window',
               command=lambda:my_open())
b1.grid(row=2,column=2) 

def my_open():
    my_w_child=Toplevel(my_w) # Child window 
    my_w_child.geometry("400x200")  # Size of the window 
    my_w_child.title("www.plus2net.com")

    l1 = tk.Label(my_w_child,  text='I am child window' )
    l1.grid(row=1,column=2) 
    def my_msg():
        #l2=tk.Label(my_w_child,text='Thank you')
        #l2.grid(row=2,column=2)
        #my_w_child.after(3000, my_w_child.quit)#close after 3 seconds
        msgbox.showinfo(title='', message='Thank You') # show message
        my_w_child.destroy()
    my_w_child.protocol('WM_DELETE_WINDOW', my_msg) 
my_w.mainloop()