You cannot disable this button, but there a 2 options you can use

1) Change to FormBorderStyle into 'None', but this does not look very nice
2) Use the formClosing event
Code:
      private void Form1_FormClosing(object sender, FormClosingEventArgs e) {
         e.Cancel = true;
      }
In this case, the 'X' button (close button) will be enabled, but will not work