This is an intentional (and logical) choice in the design of the MacOS, and there is not control over it. Just get used to hitting command-Q (or using the App's menu) when you're done with an app. Alternately, you can always scan for black triangles in the Dock and right (or control) click on each app then select "Quit" from the pop-up menu.
There are, of course, some single-window apps that auto-quit when you close their last window (iPhoto or Address Book, for example) but this headless sytem allows you to close all open windows while still leaving the application primed and open if you want--for example, I don't quit my web browser so I have basically instant access when I want, even if no windows are open. Same goes for Photoshop and Word. It's also nice to know for certain whether an app is actually open or not.
I assume you're used to Windows, which generally gets around this issue by having "super windows" for the app that contain document windows. This lets you close all your documents without closing the app, but also generally has the app take over the whole screen to do it.