If you really want to hide it, as in "not visible", then you will probably have to create a borderless form and draw the caption components yourself. VisualStyles library has the Windows Elements available. You would also have to add back in the functionality of re-sizing the form or moving the form by grabbing the caption bar. Not to mention the system menu in the corner.
In most cases, it's hard to justify having the "close" button not available, especially when you want a modal form with minimizing capabilities. Minimizing a modal form really makes no sense.