To remove the Disconnect option from the Shut Down Windows dialog box on Terminal Services clients, enable the Remove Disconnect item from Start menu (Terminal Services only) Group Policy at Computer Configuration\Administrative Templates\System.

If the policy is Not configured, you can remove the Disconnect option by setting the NoDisconnect value name, a REG_DWORD data type, to 1, at HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Policies\Explorer.

See tip 3663 to remove the Windows Security entry from the Start menu.