Sounds like you've turned on "Full Screen" in the Options. Hit Esc, go into Options, and turn it off (hitting the "Back" button top left will get you back to the Main Menu).
In the meantime, Alt-F4 closes any app you're running.
Personally, I never run MC Full Screen. I turn that option off and just expand the window- I lose very little screen real-estate that way and that Red "X" in the corner is really handy to have. Hopefully they'll add a real Exit button soon.
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I suppose that's the big flaw in a "wood" land mansion! lol
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come to think of it, Venice, Italy! cool!