To disable the close menu option in the system menu you can send a MIA_DISABLED message to the system menu.
hw = WinWindowFromID(VIOhandle, FID_SYSMENU);
WinSendMsg(hw, MM_SETITEMATTR,
MPFROM2SHORT(SC_CLOSE, TRUE),
MPFROM2SHORT(MIA_DISABLED, MIA_DISABLED));
However, you still need to handle keyboard shortcuts like ctl-F4 as well. I would suggest subclassing the VIO window (WinSubclassWindow) and handling WM_CLOSE and WM_SIZE messages sent to the VIO window in a custom window procedure. That would allow you to do anything from simply ignoring the WM_CLOSE message to customized close procedures. You can also control which frame controls are created if you do this using a WmCreateFrameControls call in the WM_CREATE processing rather than deleting the frame control windows.