How can I stop a user closing the login script before it completes?

A. It would be possible to modify GINA.DLL and it has been done in the past but there are none available for download at this time.

An alternative is to hide it. This can be done by creating DWORD value HKEY_USERS\\Console\WindowSize and set to 050005 in Hex and HKEY_USERS\\Console\WindowPosition set it to 04FF06FF in Hex. This makes the Window very small and positions it off the screen.