Iam Know few things about windows and MFC. not much about unix though.
Iam not very sure what do you mean by catching SIGKILL(9), In the below link it says you can
http://rute.2038bug.com/node12.html.gz
SIGKILL (9)
Kill signal. This is one of the signals that can never be caught by a process. If a process gets this signal it must quit immediately and will not perform any clean-up operations (like closing files or removing temporary files). You can send a process a SIGKILL signal if there is no other means of destroying it.
Okay that was just my doubt....
for you question, what I understand for catching a signal is this,
all messages related to a window application go to WindowProc function
what it can be stopped for further processing. If this is the case you which you meant then
you can see all the message passed to an MFC application using SPY++. When I tried this and closed an application using the taskbar. I did not get any message in the SPY++.
anyway the above info does not solve your problem