You can't hide it, but you can disable it by overriding the CreateParams property of the form.
private const int CP_NOCLOSE_BUTTON = 0x200;
protected override CreateParams CreateParams
{
get
{
CreateParams myCp = base.CreateParams;
myCp.ClassStyle = myCp.ClassStyle | CP_NOCLOSE_BUTTON ;
return myCp;
}
}