You can easily add a link that closes the current window when you click on a link to a new window.
Do this, select some HTML text or a graphic item and open the Hyperlink dialog from the Edit menu (or� press Command-k). In here, enter the following into the field on the External tab:
javascript:window.close()
Be aware that this will only work on windows that were opened with JavaScript - such as windows opened with the Link to New Window or Spawn New Window Actions.