Disable the menu option: ‘Go ▸ Connect to server…’ (cmd⌘ + K) in the Mac OS X Finder menubar.
defaults write com.apple.finder ProhibitConnectTo -bool true
To make the command take effect, you need to restart the Finder.
killall Finder
Revert to the default setting:
defaults write com.apple.finder ProhibitConnectTo -bool false