Desktop Applications
Terminate Process
If you start application using Global.DoLaunch then you can close it using Global.DoKillByPid.
Send Keyboard Shortcut
When application is an active window you can send Alt-F4 key combination to close it.
Global.DoSendKeys('%{F4}');
You can also use any object within application window to send the shortcut.
SeS('_1').DoSendKeys('%{F4}');
Learn Close Button
If you are testing the application via UIAutomation library you can learn Close button and click on it in your test.
Note: this method does not work with Managed library (if you are testing a C# application).
SeS('Close').DoClick();
Web Applications
To close browser window use Navigator.Close.