public MessageBoxButton MessageButton { get; set; }

Public Property MessageButton As MessageBoxButton

<Button Content="Close">
    <dxmvvm:Interaction.Behaviors>
        <dxmvvm:ConfirmationBehavior EnableConfirmationMessage="{Binding IsSaved, Converter={StaticResource BooleanNegationConverter}}" 
                                     Command="{Binding CloseCommand}" MessageText="The document has unsaved changes. Do you want to close the document?"/>
    </dxmvvm:Interaction.Behaviors>
</Button>

using DevExpress.Mvvm;
using DevExpress.Mvvm.DataAnnotations;
// ...
    public class MainViewModel : ViewModelBase {
    // ...
        [Command]
        public void Close() {
        // ...
        }
    }

Imports DevExpress.Mvvm
Imports DevExpress.Mvvm.DataAnnotations
' ...
    Public Class MainViewModel
        Inherits ViewModelBase
        ' ...
        <Command>
        Public Sub Close()
        ' ...
        End Sub
    End Class