This is by design. As part of the modality contract, showing a dialog disables all the other windows in the application. When the user minimizes the dialog window, there are no windows left that the user can access. Making the app unusable. Winforms ensures this cannot happen by automatically closing the dialog when it gets minimized.
Clearly you'll want to prevent this from happening at all. Set the MinimizeBox property to false. The MaximizeBox property ought to be set to false as well, making both buttons disappear from the window caption. Leaving room for the HelpButton btw.
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