这是一个不能让窗体按alt+f4退出的例子，应该可以给你一点提示
procedure TForm1.Edit1KeyDown(Sender: TObject; var Key: Word;
Shift: TShiftState);
begin
//shift为集合类形
if (ssAlt in shift) and (key=115)then
key:=0;
end;
TShiftState = set of (ssShift, ssAlt, ssCtrl,
ssLeft, ssRight, ssMiddle, ssDouble);
VK_F1 = 112;
{$EXTERNALSYM VK_F2}
VK_F2 = 113;
{$EXTERNALSYM VK_F3}
VK_F3 = 114;
{$EXTERNALSYM VK_F4}
VK_F4 = 115;
{$EXTERNALSYM VK_F5}
VK_F5 = 116;
{$EXTERNALSYM VK_F6}
VK_F6 = 117;
{$EXTERNALSYM VK_F7}
VK_F7 = 118;
{$EXTERNALSYM VK_F8}
VK_F8 = 119;
{$EXTERNALSYM VK_F9}
VK_F9 = 120;
{$EXTERNALSYM VK_F10}
VK_F10 = 121;
