I want to quit mail so I can shut down my computer

Force Quit .

Press command + option + esc keys together at the same time for 3 seconds. Wait.

When Force Quit window appears, select Mail if not already.

Press Force Quit button at the bottom of the window. Wait.

Application will quit.

If this does not help, press the power button for 7 or more seconds.

Computer will shut down.

Restart.

http://support.apple.com/kb/HT3411

If you didn't know already, clicking the red "X" in the top left corner in any program or window on a Mac won't actually close the program. Instead, it keeps your contect up-to-date and keeps it running in the background. There's two ways to quit the program. Open the force quit menu and quit if from there, or press the command and Q keys at the same time. That will ensure the program will be closed.

Why did this happened, the mail will not quit?