To close all records that you have open, you can either:
If any record has been changed and not saved, a pop-up confirmation window will allow you to save your changes:
Although all records will be closed, other windows will remain open, and the software itself will remain open, ready for further action.
If you wish to exit the software choose Quit instead.
If you wish to close only the records of a given set of linked records, go to one of the records in the set and choose 'File | Close all records in a set' from there instead.