Actually, Foolestroupe, the "X" (Close window) button does work, but Windows since Win98 will tell you that "that's not the right way to do it," so you still have to click another response to tell it that you really do want to close the window. It's a lot easier (IMO) to just type "Exit."
You're probably even old enough to remember when people would get into OS-BASIC and couldn't figure out how to get out. Or do you even remember the "magic word" for that?
The change in Vista is that several "search boxes" can be used identically to the "Run" box, to insert any "runnable command."
If you type a file name, the default program may be selected to open the file. (It may open the file, when you only meant to find the ^$%#!#@$! thing, and you still won't know where it is.)
If you type a legal "command line" input, the command (DOS) window will open and the command will run, but the window closes immediately when the command finishes running.
In Vista you supposedly can type "command" in any of several different integral-to-Vista search and/or input boxes and a command window will open - or at least that's what the book says.
Unfortunately, the several differently named boxes are not all of the differently named boxes so there are some boxes where it doesn't work too. So far I count about 3 functionally different boxes used with at least 11 different names.
See how much simpler Vista is, compared to that old junk you're using?