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OKay. To answer a few of the OP's questions:
You CAN right-click on a Mac. It's a feature. It just needs to be enabled, and requires a two-button mouse. The Mighty Mouse, the one you probably have, is a four button. Left, right, side buttons, and the scroll ball all click. I personally have a seven-button mouse, and therefore pretty much never have to use keyboard shortcuts. Don't let people intimidate you into thinking you have to learn something you're not comfortable with.
Also, instead of using Expose (the F9, F10, F11, et cetera), you can also simply click on the program icon in the Dock that you want to go to. If you have iTunes, Safari, QuickTime, MS Word, and Mail open, just click the icon of whichever one you want to go to, and it brings it right up.
To answer your question about why the X not quitting a program is better is simple: in Windows, you can only quit a program. You can't just exit its window. While some program developers have created ways to get around this, it is how things generally work. On Mac OS X, you can do both, thanks to this feature. Where does this apply, do you say? Just a few examples are: if you're done using a program for now, but would like to reopen it later instantly instead of having to wait, you can do it. If you want to keep Mail open so it's constantly checking without having a window open is another, as is playing songs on iTunes without having the window. Just right-click an app's icon in the dock and click quit if you want to quit. Simple as that.
You CAN right-click on a Mac. It's a feature. It just needs to be enabled, and requires a two-button mouse. The Mighty Mouse, the one you probably have, is a four button. Left, right, side buttons, and the scroll ball all click. I personally have a seven-button mouse, and therefore pretty much never have to use keyboard shortcuts. Don't let people intimidate you into thinking you have to learn something you're not comfortable with.
Also, instead of using Expose (the F9, F10, F11, et cetera), you can also simply click on the program icon in the Dock that you want to go to. If you have iTunes, Safari, QuickTime, MS Word, and Mail open, just click the icon of whichever one you want to go to, and it brings it right up.
To answer your question about why the X not quitting a program is better is simple: in Windows, you can only quit a program. You can't just exit its window. While some program developers have created ways to get around this, it is how things generally work. On Mac OS X, you can do both, thanks to this feature. Where does this apply, do you say? Just a few examples are: if you're done using a program for now, but would like to reopen it later instantly instead of having to wait, you can do it. If you want to keep Mail open so it's constantly checking without having a window open is another, as is playing songs on iTunes without having the window. Just right-click an app's icon in the dock and click quit if you want to quit. Simple as that.