C#

protected override void WndProc(ref System.Windows.Forms.Message m)
{
	if(m.Msg != 0x0010)
	{
		base.WndProc(ref m);
	}
	else
	{
		//Windows has send the WM_CLOSE message to your form.
		//Ignore this message will make the window stay open.
	}
}

using System.Runtime.InteropServices;

private const int MF_BYPOSITION = 0x400;
private const int MF_REMOVE = 0x1000;
private const int MF_DISABLED = 0x2;

[DllImport("user32.Dll")]
public static extern IntPtr RemoveMenu(int hMenu, int nPosition,long wFlags); 

[DllImport("User32.Dll")]
public static extern IntPtr GetSystemMenu(int hWnd, bool bRevert);

[DllImport("User32.Dll")]
public static extern IntPtr GetMenuItemCount(int hMenu);

[DllImport("User32.Dll")]
public static extern IntPtr DrawMenuBar(int hwnd);

public void DisableCloseButton(int hWnd)
{
    IntPtr hMenu;
    IntPtr menuItemCount;

    //Obtain the handle to the form's system menu
    hMenu = GetSystemMenu(hWnd, false);

    // Get the count of the items in the system menu
    menuItemCount = GetMenuItemCount(hMenu.ToInt32());

    // Remove the close menuitem
    RemoveMenu(hMenu.ToInt32(), menuItemCount.ToInt32() - 1,MF_DISABLED | MF_BYPOSITION);

    // Remove the Separator 
    RemoveMenu(hMenu.ToInt32(), menuItemCount.ToInt32() - 2,MF_DISABLED | MF_BYPOSITION);

    // redraw the menu bar
    DrawMenuBar(hWnd);
}

DisableCloseButton(this.Handle.ToInt32());