You will find another button on the upper right that makes the program seem to disappear. It is NOT really gone! This behavior is called minimizing. If you look carefully, you will see that the program icon is still visible somewhere. If you are in Windows 3.1, you will see an icon for the program on the desktop. In Windows 95, you will see an icon for the program in the bottom row of the screen. Double click on the icon, and the program comes back.
Why on earth would you want to do this?
Note that Macintosh does not currently have a way to minimize a window. The closest equivalent would be hiding the program in the programs menu.