don300: Why can't WGT put in a code that will only let you exit through the menu? I've seen this in other programs.
Even if they tried, Alt+F4 will always work... and that's the problem. Closing the client, however it's done, will freeze the game for your playing partners. Exiting through the menu is the only way to assure that the game continues to run.
Well, not quitting is a good way to keep it running, too.
The only way to avoid this is to educate the players as kelrob has tried to do.