In OSX it is very common for closing a window to not remove the application from the dock. In many applications the window represents a document in the application, while the application itself doesn't have a window. There are also applications like iTunes and Spotify, that don't require a window to continue to play music. Skype doesn't need to have a window for you to be available for a session.
Applications that are still running but don't have a window, are available in the dock. This way you can select the application and open an new window if you need to create a new document or interact with the application in any way.
In Windows it has always been the rule that an icon in the task bar is related to a window. Minimizing a window temporarily removes the window from the view, but it's still "there". If the window represents a document, closing it will close the document and if it's the last window of the application it will also quit the application. If the window represents the application itself closing it will quit the application.
Applications that don't really require a window have always been looking for ways to properly dealing with this. Some, like media players, "minimize" to the system tray. Chat programs like Live Messenger have always had this feature of minimizing to the tray. This puts these applications out of the way of applications on the taskbar that you do interact with actively.
In Windows version before 7, application windows used to take up a lot of space on the taskbar. This is quite different from OSX where an application could have any number of windows only represented by a single icon in the dock. Having items on the taskbar for applications that are running in the background, to keep your music going or keep you "online", would be very unpractical if the taskbar also needs to give access to a mail client, some Word documents, etc.
In version 7 Windows switched to having all windows of an application represented by a single icon, just like OSX. This opens up the possibility of having a media player or chat client active in the task bar. Furthermore, the default behavior of the system tray has gone to hiding all icons. Therefore it's no longer practical to minimize applications to the tray, as the icon will be hidden and users may be unaware the application is still running. So along with the new design of the task bar, applications are discouraged from using the tray if they're running in the background.
These are all steps on the Windows platform towards a window management paradigm that is closer to that of OSX. It no longer really makes sense that closing the window of an application should quit the application if the application could do a lot of useful things without a window. We're moving towards a Windows environment where the window is the application itself but merely a document or a view of that application. It is a recognition of the fact that the windows paradigm is becoming outdated.
At this point this "halfway there" situation causes confusion. Applications that have grasped the opportunity to move ahead towards this paradigm work differently. For one, minimizing the window (removing it from view) accomplishes the same things as closing the window. This is not all that different from OSX's behavior. There, minimizing a window moves it to a separate section of the dock. However, for applications like Skype and Spotify, this accomplishes the same thing as closing the window (except that it takes up space in the dock).
I think we're witnessing a slow movement towards figuring out how a WIMP environment should work. We've been sort of fine since Windows 95, but it's far from ideal and OSX and Windows 7 offer many improvements for usability and that's only the beginning. It will be a long and bumpy ride though, because some applications are built in a way that makes them very hard to move to a new windowing paradigm. Just look at Microsoft's inability to solve problems in this area for Excel. They've moved Word to be smarter about what a window is and does, but Excel is still stuck in the 90's. On the other hand fresh applications will be trying out new possibilities and moving the ecosystem forward.