Press and hold ALT just before F4. In Windows: generally harmless, it will close the active window (the one which has a darker-coloured (usually blue) top line. But if you have an unsaved file in that window, it should always prompt you for saving the file or not, before closing. The real damage is done at that point, if you click NO when you meant YES, or vice versa. No way of backing out! If you don't have an active window (e.g. if the last thing you clicked on was the taskbar) then it will bring up the Windows close-down menu, but even then you get a chance to back out. HTH.
I can assure you, Jaded, I have met people who need that level of detail! Admittedly, not often to be found lurking on the internet, let alone on a forum.... Is the old "'P' on your keyboard, Bob" joke still doing the rounds?