Here’s a little snippet of code I sometimes use in AIR applications to make sure all windows close when the main application window closes. I usually put it in the main application MXML file (the main window of the application). It stops the main window from closing, and closes any other opened application windows first in the opposite order in which they were opened (more recent windows first). Without code like this, if you have any other windows open, even little utility windows, and your main application window is closed, your application will not exit, even if NativeApplication.autoExit is set to true.
for (var i:int = NativeApplication.nativeApplication.openedWindows.length - 1; i >= 0; --i)