Clicking "close" provides a dialog box that states that to completely exit the program one must press "CTRL-ALT-F4." Luckily, one can also exit the program in the same manner as Skype, Yahoo! Messenger and others: right-click the system tray icon and select "exit." Please add this info to the dialog box.
Better yet, add an "exit completely" button to the dialog.
And, add an "Exit" command to the file menu. (Neither Skype or Y!msgbr do this either. Unsure why, but I would certainly prefer the command there in all three programs!)