Option Explicit
Dim bCancel As Boolean
Dim bExit As Boolean
 
Private Sub Form_QueryUnload(Cancel As Integer, UnloadMode As Integer)
  If UnloadMode <> 1 Then
    Cancel = True
 
    bCancel = True: bExit = True
  End If
End Sub
 
Private Sub cmdAbort_Click()
  bCancel = True
End Sub

...
For i = 1 To lngMsgCount
  ...
  DoEvents
  If bCancel Then Exit For
  ...
Next i
 
If bCancel And bExit Then
  Unload Me
  Exit Sub
End If
 
...

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