Close (X) button

You will need to manually define a toggle button in the corner of your window, which sets a variable that will set whether to display the window in question. Something like this:

 bool showWindow = true;

 if(showWindow)
 {
     GUI.Window(whatever options)
 }

Then inside your Window function, have a button like this-

 showWindow = !GUI.Button(wherever you put it, "X");

This will make the window disappear when the button gets pressed.

Of course, you will need to set showWindow back to true if you want to display the window again!