Every so often, and by every so often I mean on an almost-daily basis, I have several Excel files open. In Windows, several Excel windows sort of cascade in to one main window, that is to say that there is the program window and several documents opened inside of it. It makes life easier in that you can minimise them all at once, but I'm not sold on how it works. (In OS X the windows open separately, that is to say that you can close one of them at a time.) It is not necessarily bad, it's different. It would make a lot more sense if this protocol was used for all applications, but of course it is not.
But here's where it gets bad. If I want to close the file I am looking at, I hit the wee "x" in the corner below the main red "x" to close it. That's fine. That almost makes sense. But let us say I want to close the whole program. I hit the red "x" and it asks me if I want to save the top-most file. And then it asks me for the others.
Now perhaps I have seven files open, and I get to the fifth one and realise, "oh, I don't want to close them all." So I hit cancel. I assume that it will take the rest of the files I have closed and do with them what I told it to do (save, don't save) but no...once you hit cancel it reverts to its first state, with all the files open! Then you have to go through and re-save/not save them all again. Fun!