The only code you need in the "mnuexit_Click" event is:
Unload Me

This is because that statement will automatically fire the "MDIForm_QueryUnload" event.

Furthermore, you do not need the "Unload Me" statement in the "MDIForm_QueryUnload" event. You can get rid of the whole Select Case statement, and code this If statement:
If vbResponse = vbNo Then
Cancel = 1
End If