Clicking the 'cross' box, at the top right of a tabbed browser doesn't close a window. It closes the program.
To close a single tab, click on the cross at the top of that tab.
For example, I've just paused while typing this reply and opened a couple of extra tabs. (One for Google, the other for the BBC website). Here's a screenshot from my PC:
http://i9.tinypic.com/4poe63a.png
The active tab is the one labelled 'close window tab box in The An....'.
To close this tab, I'd click on the white cross, in the red box, next to the label. (By doing so, I'd only close the Answerbank page. The others would still be available).
The two other tabs, for Google and the BBC, have the red box greyed out, because those tabs aren't 'active' (i.e. currently visible). I can switch to those tabs by clicking on them, or I can close those tabs by clicking on the greyed out boxes.
Chris
(PS: That screenshot is from Firefox but Internet Explorer 7 should be very similar)