I don't suppose we could keep the trolling out of legitimate help threads.
Bladderface -- what version of Windows? (Or other OS?) Is your version of IE the very latest? If not, you could try upgrading. Is JavaScript turned on? It'll need to be, for the "close this window" link to work. What happens when you click the link? Is there an error message, does the page reload, or does nothing happen at all? If there's an error message, what exactly does it say?
The "close this window" link is working flawlessly for me. Win98, IE 6.0.2800.1106.blah.blah.blah.
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The what mentioned above is total fiction. Please don't take it seriously!