Catching Close on NonForm Window

This may be more of a C# question than OpenTK. I have a NonForm application that has a GameWindow derived class. I have the typical contructor:

public HeightMap() : base(nWindowWidth, nWindowHeight, GraphicsMode.Default, "Height Map")

I want to do some cleanup before exiting. I've tried the following and none get called:

~HeightMap() {...}
public void Dispose() {...}
protected virtual void Dispose(bool disposing) {...}

I can catch the Esc key and do cleanup but I'm not sure how to catch the event when the user clicks the Windows X to close the window.

What am I missing?

Thanks in advance.