Vb.net

  Private Sub Form1_KeyDown(ByVal sender As Object, ByVal e As System.Windows.Forms.KeyEventArgs) Handles Me.KeyDown
        If (e.Alt) And (e.KeyValue = Keys.F4) Then
            e.Handled = True
        End If
    End Sub

Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
        Me.KeyPreview = True
    End Sub