Public Class Form1
    Inherits System.Windows.Forms.Form
    ' ....
    Const WM_SYSKEYDOWN As Int32 = &H104
    Protected Overrides Function ProcessCmdKey(ByRef msg As _
      System.Windows.Forms.Message, ByVal keyData As System.Windows.Forms.Keys) _
      As Boolean
        Return (msg.Msg = WM_SYSKEYDOWN) AndAlso (keyData = (Keys.Alt Or _
        Keys.F4))
        MyBase.ProcessCmdKey(msg, keyData)
    End Function
End Class