$(function () {
        $("#dialog").dialog({
            closeOnEscape: false,
            ...
    });

<div id="dialog" title="Confirmation Message" class="dialogboxstart">
    <fieldset>
        <div class="dialogRow">
            <span class="dialogHeading" id="confirmMsg"></span>
        </div>
    </fieldset>
</div>

$(".ui-dialog-titlebar-close").hide();

$(function () {
    $('.checked').click(function (e) {
        e.preventDefault();
        var dialog = $('<p>Are you sure?</p>').dialog({
            open: function () {
                $('.ui-dialog-titlebar-close').remove(); //Remove here.

            }
        });
    });
});