http://grabacr.net/archives/208 に張ったコードをそのまま。ただのテストですよ？

HideSystemMenuBehavior.cs

using System;
using System.Runtime.InteropServices;
using System.Windows;
using System.Windows.Interactivity;
using System.Windows.Interop;

namespace SystemMenuSample
{
	public class HideSystemMenuBehavior : Behavior<Window>
	{
		[DllImport("user32")]
		private static extern int GetWindowLong(
			IntPtr hWnd, int nIndex);

		[DllImport("user32")]
		private static extern int SetWindowLong(
			IntPtr hWnd, int nIndex, int dwLong);

		private int GWL_STYLE = -16;
		private int WS_SYSMENU = 0x00080000;
		private int WM_SYSKEYDOWN = 0x0104;
		private int VK_F4 = 0x73;

		protected override void OnAttached()
		{
			base.OnAttached();
			this.AssociatedObject.SourceInitialized += (sender, e) =>
			{
				var handle =
					new WindowInteropHelper(this.AssociatedObject).Handle;

				var windowStyle = GetWindowLong(handle, GWL_STYLE);
				windowStyle &= ~WS_SYSMENU;
				SetWindowLong(handle, GWL_STYLE, windowStyle);

				var hwndSource = HwndSource.FromHwnd(handle);
				hwndSource.AddHook(this.WndProc);
			};
		}

		private IntPtr WndProc(
			IntPtr hwnd, int msg, IntPtr wParam, IntPtr lParam,
			ref bool handled)
		{
			if (msg == WM_SYSKEYDOWN && wParam.ToInt32() == VK_F4)
			{
				handled = true;
			}

			return IntPtr.Zero;
		}
	}
}