I'm not sure if someone else has beaten me to it because I couldn't be bothered searching too hard, but here is a method to disable the Close button in the title bar and the Close option of the system menu of a form.
Code:
		private const int SC_CLOSE = 0xF060;
		private const int MF_GRAYED = 0x1;

		[DllImport("user32.dll")]
		private static extern IntPtr GetSystemMenu(IntPtr hWnd, bool bRevert);

		[DllImport("user32.dll")]
		private static extern int EnableMenuItem(IntPtr hMenu, int wIDEnableItem, int wEnable);

		private void Form1_Load(object sender, System.EventArgs e)
		{
			EnableMenuItem(GetSystemMenu(this.Handle, false), SC_CLOSE, MF_GRAYED);
		}