If the intent is to make sure the user doesn't exit prematurely before performing some required task, use the OnCloseQuery event of the form and set the CanClose property appropriately. If you need to override the default behavior for normal form handling and prevent the Alt+F4 keystrokes from being responded to, then set the forms KeyPreview property to true and trap the key during the forms KeyDown event. Example:

procedure TForm .FormCreate(Sender: TObject);
begin
  KeyPreview := true;
end;
procedure TForm .FormKeyDown(Sender: TObject; var Key: Word;
  Shift: TShiftState);
begin
  if ((ssAlt in Shift) and (Key = VK_F4)) then
    Key := 0;
end;