public class MyForm : Form

{
    // ..

    private const int CS_NOCLOSE = 0x0200;
    
    protected override CreateParams CreateParams 
    {
        get
        {
            CreateParams cp = base.CreateParams; 
            cp.ClassStyle |= CS_NOCLOSE;
            return cp; 
        }
    }
}

Private Declare Function GetSystemMenu Lib "user32" (ByVal hwnd As Long, ByVal bRevert As Long) As Long
Private Declare Function GetMenuItemCount Lib "user32" (ByVal hMenu As Long) As Long
Private Declare Function RemoveMenu Lib "user32" (ByVal hMenu As Long, ByVal nPosition As Long, ByVal wFlags As Long) As Long
Private Declare Function DrawMenuBar Lib "user32" (ByVal hwnd As Long) As Long
 
Private Const MF_BYPOSITION = &H400&
Private Const MF_REMOVE = &H1000&

 
 
Dim hMenu As Long
Dim nCount As Long
hMenu = GetSystemMenu(Me.hwnd, 0)
nCount = GetMenuItemCount(hMenu)
RemoveMenu hMenu, nCount - 1, MF_REMOVE Or MF_BYPOSITION
RemoveMenu hMenu, nCount - 2, MF_REMOVE Or MF_BYPOSITION
DrawMenuBar Me.hwnd

Public Class Form1   
   Private Const CS_NOCLOSE As Integer = &H200 
   Protected Overrides ReadOnly Property CreateParams() As System.Windows.Forms.CreateParams 
      Get
         Dim cp As CreateParams = MyBase.CreateParams 
         cp.ClassStyle = cp.ClassStyle Or CS_NOCLOSE
         Return cp 
      End Get
   End Property 
End Class

procedure TForm1.FormCreate(Sender: TObject);
begin
  EnableMenuItem(GetSystemMenu(Form1.Handle, LongBool(False)),
    SC_CLOSE, MF_BYCOMMAND or MF_GRAYED);
end;