The thing is that other apps are still active and inmy dock even when I close the last window of this app, where with QT the icon disapears from the dock, thus I can not quit the app.
The application icon should not be disappearing and so this sounds like a Finder/system display problem. As to quitting, either try the "Command-Q" keyboard shortcut or double-click the app or a movie icon in the finder to restore and use the QT Player "Quit" menu. If neither of these work, it would tend to confirm that you have a system problem. I would normally check to see if you have the same problem using a different user account. If you don't have the same problem, I would restore the preference file to see it that fixes the problem. If you continue to have the same problem in both accounts, I would either replace the player app and recheck or reinstall the operating system.
I have to quit the app from the last window like you said witht the kyes and everything.
See above for further testing.
Before with Snow Leopard when I closed every window of an app the app stays open in the dock until I close it or it quited it self like iPhoto does.
Snow Leopard was working properly while your current system/software is not.
Do you know any other way I can twick the QT app into staying in the dock until I quit it and then to disapear?
There is nothing to tweak. Based on your updated description, your system is not working properly. This is not the way your system/this app should be behaving.