Exit

I don't know if your user base is international but I guess it is of varying levels of English and varying levels of IT skills. Exit is universal for leave, quit and go away (remember not everyone thinks like us geeks!)

Take these users:

The grandma who has just got her first laptop

I want this to go away ... quit [negative connotations, implies it is final, sometimes forever]

I want this to go away ... exit [can be related to in real life]

The person who speaks enough English to get by

I want this to go away ... leave [localised terminology, can also mean "to leave something in a room" - confusing to those not fluent in the context]

I want this to go away ... exit [globally recognised terminology, doesn't need context - can stand alone strongly]

I am sure there are more examples I could bore you with but I guess you get the gist. Just think about it this way, what sign did you see driving down the highway?

Also this is a screenshot of a random selection of windows I have open - don't reinvent the wheel :)

Update for Mac Users: I would say firstly go with what is right for the platform, but if it is a web app where that is not an option say I would also apply this example