How can I remove the X (close) button on a floating toolbar?

Derive your toolbar from CToolbar and override CalcFixedLayout(), like this:

CSize CMyToolBar::CalcFixedLayout( BOOL bStretch, BOOL bHorz )
{
	if ( IsFloating() ) // only when we float
		GetParent()->GetParent()->ModifyStyle( WS_SYSMENU, 0 ); 
	return CToolBar::CalcFixedLayout( bStretch, bHorz );
}