This code disables the standard Window Close (X) button on the upper right corner of Windows forms:
Private Const SC_CLOSE As Integer = &HF060
Private Const MF_GRAYED As Integer = &H1
Private Declare Function GetSystemMenu Lib "user32"
(ByVal hwnd As Long, ByVal bRevert As Long) As Long
Private Declare Function EnableMenuItem Lib "user32"
(ByVal hMenu As Long, ByVal wIDEnableItem As Long, ByVal wEnable As Long) As Long
Private Sub Form1_Load(ByVal sender As Object, ByVal e As System.EventArgs)
EnableMenuItem(GetSystemMenu(Me.Handle, False), SC_CLOSE, MF_GRAYED)
End Sub