You can also go to the Application Menu (The menu that is the name of the Application you are in) and scroll down to Quit.
Apple does not believe in Maximize. There really is no point to it, it is a holdover from Windows 2 (before Windows even had the rudimentary desktop in Windows 3.x) and is usually useless. Most programs are not designed for maximize (Freecell anyone) and you just end up with a window that is locked in place with a bunch of empty space. The "Green Skittle" in OS X expands the window to the natural size of the content and will then return you to the original size.
As for the "Red Skittle", many Applications use more memory when they are drawing windows on the screen, and often their content takes up memory (such as a flash video in Safari), and you need that memory for something else, but will also need the program soon. Closing the window frees up that memory so you can use it, but the Application is ready at a moments notice to go back to work again. This concept was much harder for the novice to understand prior to OS X, as the only indication that a program was still running was its entry in the Application Menu.
Also, if you want an MSN client, check out
http://www.microsoft.com/mac/ for the Mac client. You may also want to check out Adium at
http://www.adiumx.com/
TEG