Disabling the Windows "Close" Button (The BIG RED 'X')

I'm trying to figure out how to disable the Windows environment 'X', as that is a coworkers favorite way to close Excel he sometimes loses data because of it.

I use the following coding to prevent 'improper' closure of UserForms

Private Sub UserForm_QueryClose(Cancel As Integer, CloseMode As Integer)
  If CloseMode = vbFormControlMenu Then
    Cancel = True
    MsgBox "Please use the 'Close' button!"
  End If
End Sub

I would like to know if there is a way to disable the 'X' that does not create a mess or cause issues in general? If it helps any, we are still using Windows XP Pro ver 2002 w/ SP3 with Office 2010, but we are slowly transitioning over to Win7 Pro, ours will be the LAST location about 6 months down the road.