There is a way to add custom header and footers to each of the
self-service pages. I believe there is a file called CustomLayouts.txt
or the like - it should be somewhere in the documentation.
With that file, you could in essence add an html button with some
javascript to close the window. If you added a bit of CSS, you could
even re-position it to the upper right corner and make it a red X, so
it looks more like a standard Windows close button.