[Code]
const
  SC_CLOSE = $F060;
  MF_GRAYED = $00000001;
  MF_BYCOMMAND = $00000000;

type
  HMENU = THandle;

function GetSystemMenu(hWnd: HWND; bRevert: BOOL): HMENU;
  external 'GetSystemMenu@user32.dll stdcall';
function EnableMenuItem(hMenu: HMENU; uIDEnableItem: UINT; uEnable: UINT): BOOL;
  external 'EnableMenuItem@user32.dll stdcall';

function EnableSystemMenuItem(MenuItem: UINT; Enable: Boolean): Boolean;
var
  Flags: UINT;
begin
  Flags := MF_BYCOMMAND or (Ord(not Enable) and MF_GRAYED);
  Result := EnableMenuItem(GetSystemMenu(WizardForm.Handle, False), MenuItem, MF_BYCOMMAND or Flags);
end;

// ...

var
  ProgressPage: TOutputProgressWizardPage;

procedure CurPageChanged(CurPageID: Integer);
begin
  if CurPageID = ProgressPage.ID then
  begin
    EnableSystemMenuItem(SC_CLOSE, True);
    WizardForm.CancelButton.Visible := True;
  end;
end;