When you have more than one window open, instead of closing each individual window, go to the Window tab at the top of your screen, click on it and then choose "Close All". This will close all the open windows at once.
Do not pay your payroll liabilities from the "Write Cheques" window. If you use this window, QuickBooks will warn you to use the "Pay Liabilities" window, but will let you write the cheque.