Microsoft Word's Close Document Buttons

I'm fond of Microsoft Word. I really am. As a word processing program, it won the battle fair and square: it's the best all around application for moving large amounts of formatted words.
Running on Windows though, there's an interface anachronism that drives me nuts.
A Windows application lines up three buttons along the top right edge of it's main window. Those three in the top row on the right hand side. The red X button, as everybody knows, closes the application.
Below that, you can see another X. In most cases, that X would close an individual window (your document, in this case) leaving the application running.
Unless you have a single document open, as it turns out. In Word, if you have a single document open that second X closes the application as well as your open Application.
This would make sense if it were on a Mac, sort of, but on Windows it's just the kind of inconsistent behaviour that drives me nuts.