You could put something like this in the main startup method:

namespace WindowsFormsApplication1
{
    static class Program
    {
        /// <summary>
        /// The main entry point for the application.
        /// </summary>
        [STAThread]
        static void Main()
        {
            Application.EnableVisualStyles();
            Application.SetCompatibleTextRenderingDefault(false);
            Application.AddMessageFilter(new AltF4Filter()); // Add a message filter
            Application.Run(new Form1());
        }
    }

    public class AltF4Filter : IMessageFilter
    {
        public bool PreFilterMessage(ref Message m)
        {
            const int WM_SYSKEYDOWN = 0x0104;
            if (m.Msg == WM_SYSKEYDOWN)
            {
                bool alt = ((int)m.LParam & 0x20000000) != 0;
                if (alt && (m.WParam == new IntPtr((int)Keys.F4)))
                return true; // eat it!                
            }
            return false;
        }
    }
}