The microsoft.public.word.docmanagement newsgroup might be a more
appropriate place to ask this question. However, the white X with the red
background is in the blue bar at the top of the screen in all programs on my
PC., but if that is not the button that you are using then it is something
else. Unfortunately, I have moved on to Word 2007 that does have the
behaviour that you mention and there I overcome it by putting a document
close button on the Quick Access Toolbar.
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Hope this helps.
Please reply to the newsgroup unless you wish to avail yourself of my
services on a paid consulting basis.
Doug Robbins - Word MVP