How do you turn this darn thing off?

OK,
First, let me say I'm new to Linux, and I'm doing using Ubuntu, and so 
far I like it.
So, today I click on a file .MP3, and RHYTHMBOX starts to play, ok, cool.
I then cluck the "X" on the window, it KEEPS ON PLAYING. Finally I 
restarted my system.

I try again, this time on Right Cluck in the Launcher, that does way, 
but it keeps on playing. I ended going into the MONITOR and killing the 
process.

What the heck is going on here? Why are you still playing when I try to 
get out of it. I do not see any icons on the screen or the quicklaunch. 
This reminds me of the annoying quicktime and realplayer that want to 
take over your computer each update. I'm sure I'm missing something that 
will seem obvious once someone points out the real exit, but to not stop 
playing when the window is closed, or the lunch bar has right clicked 
quit, is weird.

Thanks in advance.
-Bob

-- 

Bob Umphred
www.Facebook.Com/Umphred