Mac closing applications

I FINALLY GOT MY MAC!!! Thanks to everyone who helped so far, I'm really pleased with my new computer. Just one annoyance I was wondering could I change.
When I close all instances of an application by hitting the cross, in Windows it closed the application fully, in Mac it still appears to be running in the dock so I have to switch to it and quit it from the menu. Anything I can do so that when I hit the cross it just quits? Like I said its not major just bugging sometimes.
Thanks again.

Just click Command-Q while in the application and it will both close and quit.

that takes a bit of getting used to, but its a real time saver because it means you don't have to re-load apps such as photoshop or firefox again.

you can also go to the menu bar and close the program using the menus.

I know I can close from menubar and command-q i was just wondering if I could do it the way I'm used to. Although now you mention it I suppose it could be useful for apps like Photoshop. I'll just get used to it I guess