Assume you have an MFC application. The solution is to override the virtual function:

 virtual BOOL CWinApp::ProcessMessageFilter(int code, LPMSG lpMsg);

The following code demonstrates:

 BOOL CMyProgramApp::ProcessMessageFilter(int code, LPMSG lpMsg){  if(WM_SYSKEYDOWN == lpMsg->message)  {    if(VK_F4 == lpMsg->wParam)    {      //Eliminate Alt+F4      if(::GetKeyState(VK_MENU) < 0)      {        //Do nothing        return TRUE; //We are processing, not the System      }    }  }  return CWinApp::ProcessMessageFilter(code, lpMsg);}

You can also check if the action is from a given dialog or control in that dialog. You can also use the Alt+F4 key combination for other purposes. For instance, you could replace it with a rarely-used key, like Alt+F24, which is not possible from a standard keyboard.

 BOOL CMyProgramApp::ProcessMessageFilter(int code, LPMSG lpMsg){  if(m_hwndDialog != NULL)  {    if((lpMsg->hwnd == m_hwndDialog) || ::IsChild(m_hwndDialog,lpMsg->hwnd))    {      if(WM_SYSKEYDOWN == lpMsg->message)      {        if(VK_F4 == lpMsg->wParam)        {          //Eliminate Alt+F4          if(::GetKeyState(VK_MENU) < 0)          {            //Use VK_F24 instead VK_F4, in this way Alt+F4 can be used forother purposes            ::PostMessage(lpMsg->hwnd, WM_SYSKEYDOWN, VK_F24,lpMsg->lParam);            //We are processing, not the System            return TRUE;          }        }      }    }  }  // Default processing of the message.  return CWinApp::ProcessMessageFilter(code, lpMsg);}

Note: Only the combinations Alt+F4 and Alt+Shift+F4 are interpreted as System Keys that close the window. The combinations Ctrl+Alt+F4 and Shift+Ctrl+Alt+F4 are not detected, in these cases F4 goes strangely as TAB.