Closing Out of Pop Up Windows without Pressing the Red X button

Hey, this is my first Mac ever. I am not much of a computer carer. However, I don't want to wreck this computer. I understand with PC's you can get viruses or malware "whatever it is" from closing out of the pop up windows by just pressing the close "X" button in the upper right hand corner similar to the red "x" button on the macs. Now I know there was a way to close out of the window by just pressing Alt+ F4 and it would safely close the window. Is there any way to safely do that with pop up windows for macs?