This event already exists, the FormClosing event fires. You can cancel the close by setting e.Cancel = True in your event handler for the event. Be sure to check the e.CloseReason before you do that.
Do avoid breaking standard Windows shortcut keystrokes, there is no point. The user can also close the window by clicking the child window's Close button. Ctrl+F4 is just a helpful shortcut to do the same thing without using the mouse.