There is an option in the iSeries Access emulator that prompts users to click Yes/No when they close the session, even if they use the X. You can set this option for each user (or in a workstation profile that they may share). It’s found at: Edit | Preferences | Exit. You can turn on “Confirm on Exit Session” and “Confirm on Exit All”.
If you can determine (via Google, probably) the registry values that these options change, you can push it out via group policy using Windows Server 2003. I’ve done that on ours, IIRC, but it was a little tricky. I could probably dig it up if you need the details.
We have a similar issue with users who use the RUMBA application to access our AS/400 ‘xing’ rather than logging off correctly. Can anyone advise if there is a similar solution for RUMBA?