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First, when you turn off your Axim it is not shutting down like a desktop computer does. It merely goes into a suspended state. Battery power is still being used to retain the state of all the applications running on your Axim.
Secondly, Microsoft's standard for Pocket PC applications is to not support a close button. The "x" button on compliant applications minimizes the application. This is because your Axim is in an "Always On" state--meaning you do not have to boot up the Axim. When available memory goes below a certain threshhold, the operating system begins notifying running applications to shut itself down.
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