question about media player?

Romans 10:17

New member
I bought my computer a week ago, so I assume the Windows Media Player is new as well. When the media player is running, I sometimes try to close the entire thing (and shutting off the audio/video) by clicking on the 'x' in its upper right corner. Isn't the 'x' supposed to shut the entire thing off? Yet when I do this, the thing only minimizes, and continues to play.

What's wrong with this player?
 
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