It all depends on the way your phone and its menus are configured. For example, if you long press the Back button, the application is killed and turned off. Or, if you press the menu/window a list with apps running in the background will be shown on screen. Swipe that window with your app to the left or right (sometimes up) and it should close.
Secondly, check the settings and the quick launch apps/settings that are configured or installed on your phone.