The callback is a method so you need to specify the owner
builder.connect_signals({"on_window_destroy" : gtk.main_quit,
"on_btnExit_clicked" : self.btnExit_clicked})
Got this info from http://www.pygtk.org/articles/pygtk-glade-gui/Creating_a_GUI_using_PyGTK_and_Glade.htm
cheers