If you need to prevent the user to close the appl. from the close-button in the 
form, then you can use Joe F, Darley's way to do so. But you can 
also add this code to prevent [ALT]+[F4] and by right-clik on the appl. in the 
programme-bar.
1   
2     private
3       { Private declarations }
4       OkToClose: Boolean;
5   
6   {In the forms OnCloseQuery event:}
7   procedure TForm1.FormCloseQuery(Sender: TObject; var CanClose: Boolean);
8   begin
9     CanClose := OkToClose;
10  end;
11  
12  {And in your own closebutton: ( if you want to have one )}
13  procedure TForm1.CloseProgrammeClick(Sender: TObject);
14  begin
15    OkToClose := True;
16    Close;
17  end;

This way you cannot close the appl. other than if you let the user by your own
 close-button.

Well... There is one way to close it... You can close the appl. by press
 [Ctrl]+[Alt]+[Del] and then close it in progresses or in the Job-list
 for programmes...