No, in Windows, when you close a window the application (or process) closes, not the Window.
Try think about these two options
You start typing a reply to this, then you
a) Close the windows (in Safari 3 you will get a warning as you have started typing)
b) Mimimse the window
This is what happens:
a) The window is closed, you cannot get back the text you started typing.
b) The window is in the Dock, you click on it to get back the text you started typing.
Windows struggles with this, the solution is simply to "double up" on controls, so you have one for the window (in this case an excel document) and one for the application (excel itself).
(example one)
http://att.macrumors.com/attachment.php?attachmentid=88167&stc=1&d=1193149436
You can also create many instances of the same application, so here I have two documents in one instance of excel and a third document in the second instance of excel.
(example two)
http://att.macrumors.com/attachment.php?attachmentid=88169&stc=1&thumb=1&d=1193150473
The document windows can be reduced in size and float inside an application window. In this case if I were to close the front most window the application (excel) stays open. This is how the Mac works.
(example three)
http://att.macrumors.com/attachment.php?attachmentid=88170&stc=1&thumb=1&d=1193150473
Finally, if I choose to quit (or exit) excel, the second instance of excel stays open. I have not actually exited excel at all, I am still running excel.
(example four)
http://att.macrumors.com/attachment.php?attachmentid=88171&stc=1&d=1193150473
Now anyone with any reasonable degree of intellect can figure out all these combinations and if you are used to Windows it is probably second nature, but for a new user it is far simpler to explain this:
"One application can have many windows"
Obviously in this example I have picked out areas where confusion can be caused, but a new user could quite conceivably be presented with all four scenarios.
To say Apple needs to somehow "fix" or "correct" this behaviour is inaccurate, especially when you compare and contrast the approach with the many contradictory mixed metaphors found inside Windows.
Please note that I don't want to sound rude (so don't take it the wrong way!). I actually spent a bit of time composing this reply so it makes sense and helps you understand how windows management works on the Mac and how it differs to other systems.
Great machine by the way, I hope you have a lot of fun with it!