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Yea the little red button closes the window, not the application (see; close, not quit). Cmd+Q is your friend (or hold click the app in the dock and select quit from there).

Some red buttons have a darker dot in them, that usually means it quits the whole thing if you push it (or got unsaved stuff).

Red dot = unsaved work.

Never heard of it meaning that the whole app quits. Could you give an example?
 
Never heard of it meaning that the whole app quits. Could you give an example?

apps that cannot have multiple windows. examples: iphoto, system preferences, photo booth, dictionary, isync and lots of utilities like disk utility, audio MIDI setup, digitalcolor meter, network utility.... just off the top off my head.
im sure theres lots more but yes most OS X apps have multiple windows and must be quit by command-Q or application menu->quit application.
 
apps that cannot have multiple windows. examples: iphoto, system preferences, photo booth, dictionary, isync and lots of utilities like disk utility, audio MIDI setup, digitalcolor meter, network utility.... just off the top off my head.
im sure theres lots more but yes most OS X apps have multiple windows and must be quit by command-Q or application menu->quit application.

Not the close button, the red dot in the close button. You misread both my and hyddan's post!

This always means unsaved work:
 

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