Why clicking red X does not close program???

I am a first-time Mac user and have a question about quiting/closing programs.

When you click the red button/X in the upper left corner of a program, is there a setting in Lion to make the program actually close/quit instead of having to go to the menu at the top and click Quit?

This was annoying on a windows mobile phone - it is still annoying on the iMac and I could not find any settings in System Preferences to change how clicking on the red button closes a program.

Thanks.