This does the job:
private void Form1_FormClosing(object sender, FormClosingEventArgs e)
{
e.Cancel = true;
}
Edit: In response to pix0rs concern - yes you are correct that you will not be able to programatically close the app. However, you can simply remove the event handler for the form_closing event before closing the form:
this.FormClosing -= new System.Windows.Forms.FormClosingEventHandler(this.Form1_FormClosing);
this.Close();
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