Thanks for your reply and setting me straight as you have for everyone in many of your post! I got it to work by using this code :

Code:
Function SaveChanges() As Boolean
        Dim strTabText As String = tc1.SelectedTabPage.Text
        Dim reply As MsgBoxResult
        reply = MsgBox("Have you saved your document(s)?", MsgBoxStyle.YesNo + vbQuestion)
        If reply = MsgBoxResult.Yes Then
            tc1.SelectedTabPage.Dispose()
        Else
            For Each Page As DevExpress.XtraTab.XtraTabPage In tc1.TabPages
                If SaveFileDialog1.ShowDialog = Windows.Forms.DialogResult.OK Then
                    CType(Page.Controls.Item(0), AxXtremeSyntaxEdit.AxSyntaxEdit).SaveFileAs(SaveFileDialog1.FileName)
                    lastSavePath = SaveFileDialog1.FileName
                End If
            Next Page
        End If
    End Function