If you've messed something up and you wish to exit without saving your cockup then press Alt + Tab and then click on the X in the corner of the smaller game window that then appears in the centre of your screen. Waiting for the two smartarses above to tell me Fred wasn't needed for this titbit either.
Fred Dinenage was a kids TV presenter in the 80s and 90s in the UK and presented a kids tv show called How 2.
Reef The other method that usually closes anything is ALT+F4 - closes the current window. pH aka Gordon Bennett