Handling the System.Console.CancelKeyPress
event can help you.
MSDN explains how to handle this event along with other things you need to take care of when handling this event, excerpt:
This event is used in conjunction with System.ConsoleCancelEventHandler and System.ConsoleCancelEventArgs. The CancelKeyPress event allows the console application to intercept the CTRL + C signal so that the application can decide whether to continue or terminate.
Use this event to explicitly control how your application responds to the CTRL + C signal. If your application has simple requirements, you can use the TreatControlCAsInput property instead of this event.
The event handler for this event runs in the thread pool thread.
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