There are sysinternals forum threads about protecting against end-process attempts by hooking NT Internals, but what you really want is either a watchdog or peer process (reasonable approach) or some method of intercepting catastrophic events (pretty dicey).
Edit: There are reasons why they make this difficult, but it's possible to intercept or block attempts to kill your process. I know you're just trying to clean up before exiting, but as soon as someone releases a process that can't be immediately killed, someone will ask for a method to kill it immediately, and so on. Anyhow, to go down this road, see above linked thread and search some keywords you find in there for more. hook OR filter NtTerminateProcess etc. We're talking about kernel code, device drivers, anti-virus, security, malware, rootkit stuff here. Some books to help in this area are Windows NT/2000 Native API, Undocumented Windows 2000 Secrets: A Programmer's Cookbook, Rootkits: Subverting the Windows Kernel, and, of course, Windows® Internals: Fifth Edition. This stuff is not too tough to code, but pretty touchy to get just right, and you may be introducing unexpected side-effects.
Perhaps Application Recovery and Restart Functions could be of use? Supported by Vista and Server 2008 and above.
ApplicationRecoveryCallback Callback Function Application-defined callback function used to save data and application state information in the event the application encounters an unhandled exception or becomes unresponsive.
On using SetUnhandledExceptionFilter, MSDN Social discussion advises that to make this work reliably, patching that method in-memory is the only way to be sure your filter gets called. Advises to instead wrap with __try/__except. Regardless, there is some sample code and discussion of filtering calls to SetUnhandledExceptionFilter in the article "SetUnhandledExceptionFilter" and VC8.
Also, see Windows SEH Revisited at The Awesome Factor for some sample code of AddVectoredExceptionHandler.