Just don't. You can't, and you shouldn't. The comments stated this, but I thought it was worthy of putting down here.
I guess an important distinction is that you can listen to the combination, but you cannot override Windows' reaction to it.
Think about the reason for this well-known key combination, in a security sense: it is there to give logging in users confidence that they aren't about to type their password into some clever, phishing application. If Windows permitted you to override the functionality, you could easily write a full-screen, pretty, blue page that said "CTRL + ALT + DEL to unlock" (or whatever it actually says), then you could pop up a textbox, and users would willingly type in their password, and there you'd have it. But Windows doesn't want people doing that, and people don't want to do that. So it's disallowed.
As for why you shouldn't, there are a few reasons. First, people will be confused. They'll be looking for what key combination to press, see yours, and be instantly confused because of a preconceived notion of what it should do. Not only is it the opposite of discoverable, but it will be difficult for users to believe even after they see it written plainly out.
Secondly, when your application crashes ("but my applications will never crash!"--let me rephrase myself--when your application crashes), the user might want to press this well-known key combination to bring up Task Manager, or even something more serious, like to invoke a reboot. Here, there are two options: one, your application is responding well enough to not let the user do that, then that's awful. Two, your application is not responding well enough to not let the user do that, and they're now making a bet on that very lack of responsiveness (In other words, they have to assume that your application won't respond, and that's an uncomfortable assumption for both of you).
Another great reason to not do this is just the difference in scope. For one, users are used to this key combination as being a global, OS matter. What it means in one window, it means in another. Having that change out from under them would be similar to changing what, say, clicking the start menu does. It will be way-confusing, and just generally icky to use. By the same token, users might be confused when they go to use your app and, say, they've got the taskbar selected (or something), so they bring up that screen instead. It's also possible that users will be using a completely different application, and somehow think that yours is still listening, so they'll press the combination and, you guessed it, be confused.
Instead of doing something like this, you should find an alternative. Depending on what you want to do (honestly, I can't imagine why you'd want to do this aside from writing a phishing page, but I'll expect the best of you for the sake of argument), CTRL+break might be a good option. It tends to be a good, customizable way of saying "stop doing what you're doing!" which is similar to the "stop everything you're doing!" that CTRL+ALT+DEL tends to mean.