Hii,
I found this worked for me in the end (note the third line overriding the open function which find the button and hides it):
$("#div2").dialog({
    closeOnEscape: false,
    open: function(event, ui) {
        $(".ui-dialog-titlebar-close", ui.dialog || ui).hide();
    }
});
To hide the close button on all dialogs you can use the following CSS too:
.ui-dialog-titlebar-close {
    visibility: hidden;
}
Thank You!!