"Close on it's own" sounds a little scary to me, are
you sure you want to do this? How are you (the writer) going
to know when you want to do this or where you put this in the show
(last week)? How is the user going to know that he wants to do this?
I'd guess that if you answer these questions, you'll probably come up
with a decision to put a decision point in the process somewhere.
It's already there built into the program - just hit "escape."
If you want something more overt - why not put in an autoshape
(of whatever shape you want - maybe a red octogon?), under
"action settings" put in "on click" and "end program".
I hope I understood the question, and that this helps.