Since Windows 7 Phone device is still not available widely so you probably are using emulator to test your application. After you have done your testing, now you want to close the emulator windows. And probably are looking for X button on top right corner of that emulator window. And you do not see it.
No, you are not stuck. The close button is there. It appears when you move your mouse on any of the edges of emulator window. A menu will slide open on upper right corner of the emulator window from where you can close it.