Is that using KiXforms?

 Code:
$Form.ControlBox = 0


That should remove the close "X", but users can still close it via ALT-F4. Not sure if there's a workaround for that or not.

You could always make sure that BREAK is OFF, so that if the users interrupt the login script, it just logs them out - at that point, they really have no choice but to let it run, or they'll never be able to log in.