When I X out of a window, all of my open windows close...Why and how can I fix it?

[Windows Xp]

I regularly have multiple windows open. If I right click on them from the start bar and click close, it will close just that window. However, if I click on the x in the corner, everything that is opened gets closed. I do get prompted to save open documents, clicking cancel keeps it open, but the things like firefox that do not have an “open document” just get closed .Any idea what is causing this and how I can fix it?