well for me the game started in fullscreen so i didn't have that x. as for the alt+f4 it didn't work for me, however my keyboard has been acting buggy. For exiting the game, a simple menu with a quit game function would, work. However I'm not too famiiluar with the engine you're using. Sense it looks alot like a bigger games mini game. what ever you commonly think of for an action key would do well as an exit button. say press F to exit. there should be a line you can use in most engines code for an exitapplication function. That's what I'd suggest.