I've been using Windows since the beginning. And I use the system icon in the upper left quite a lot, mostly to close things, and especially when the window is off the screen a bit so the X isn't available. In Vista, it looks like that icon/button is gone, but it isn't. Just click where it should be:
Double-click to close the window, or do any of the things you would otherwise do on that menu. Isn't that cool?