Like this:

Private Sub UserForm_QueryClose(Cancel As Integer, CloseMode As Integer)
If CloseMode = vbFormControlMenu Then
Cancel = True
MsgBox "You can't close  the dialog like this!"
End If
End Sub

An additonal question: How can I disable  this button  in a MsgBox?

Not sure you can. But you could make it an input box and test on exit
for a null input. Just a thought.

You can use "terminate" event,

example, your FormName : UserForm1

write this program on terminate event :

Private Sub UserForm_Terminate()
UserForm1.Show
End Sub

even user  click the X on the very right of header, userform1 is still show up.

for the "END"/exit button, example : commandButton1,


Private Sub CommandButton1_Click()
End
End Sub

Now, we can force  user by using CommandButton1 to exit  !