To begin with, open Internet Options by clicking the Start button, then you should click the Control Panel. At this point, click the Network and Internet and then click Internet Options. Finally, click the programs tab, and then click Make default, before clicking OK then closing the Internet Explorer. You can find more from this link http://windows.microsoft.com/en-GB/Windows7/Change-your-default-web-browser.
I know there's a few websites that give you endless pops-up so the "X" button is unusable. There are always things like task manager to close the browser though. Truly unable to be closed would be impossible unless you freeze the OS itself.