Close InfoPath form without receiving a message to submit

[nac101]

I create InfoPath forms using InfoPath 2003. I use costum submit
using rules via a submit button.
When I click on close (X) the I receive a messagebox asking if I wish
to submit the form.

I do not want users to submit this form without clicking on the submit
button on the form. Does anyone know how to disable this message?

Thanks!