Custom screen window not getting closed !

I have designed a screen and calling that using call screen XXXX starting at 15 5. Sreen does load up. Upon clicking close button(X mark) on the top right side, window is not getting closed.

I have two more buttons OK and CANCEL in screen, which I designed, on clicking them screen does behave properly,

I searched in SDN but couldnt get much help.

Any idea what am missing ??

Thanks & Regards

Himayat.