[NIch]

Кое что нашел...

http://forum.xakep.ru/m_950665/tm.htm

Код:

TForm1 = class(TForm)
private
 { Private declarations }
 procedure WMSysCommand(var Message: TMessage); message WM_SYSCOMMAND;
public
 { Public declarations }
end;
...
procedure TForm1.WMSysCommand(var Message: TMessage);
begin
 if Message.WParam <> SC_CLOSE then begin
   inherited;
 end;
end;

http://programmersforum.ru/showthread.php?p=388207

Код:

procedure TForm1.FormKeyDown(Sender: TObject; var Key: Word;
Shift: TShiftState);
begin
if ((ssAlt in Shift) and (Key = VK_F4)) then
Key := 0;
end;