I think you will need to use API calls to do this. Try the following code and see if it works for you.
Public Const SC_CLOSE = &HF060
Public Const MF_BYCOMMAND = &H0
Declare Function GetActiveWindow Lib "User32" () As Integer
Public Declare Function GetSystemMenu Lib "User32" _
(ByVal hwnd As Long, ByVal bRevert As Long) As Long
Public Declare Function DeleteMenu Lib "User32" _
(ByVal hMenu As Long, ByVal nPosition As Long, ByVal wFlags As Long) As Long
Declare Function DrawMenuBar Lib "User32" (ByVal hwnd As Long) As Long
Public Sub DisableX()
Dim tmp As Long
tmp = GetActiveWindow()
Dim hMenu As Long
hMenu = GetSystemMenu(tmp, 0&)
If hMenu Then
DeleteMenu hMenu, SC_CLOSE, MF_BYCOMMAND
DrawMenuBar (tmp)
End If
End Sub
Public Sub RestoreX()
Dim hMenu As Long
Dim tmp As Long
tmp = GetActiveWindow()
hMenu = GetSystemMenu(hwnd, 1)
DrawMenuBar (tmp)
End Sub