If you realy need to pick Another CloseButton I would reccomend this guide: http://blog.magnusmontin.net/2013/03/16/how-to-create-a-custom-window-in-wpf/ It is tested and works fine, You create your custom window like Sheridan said. The Close button in that code is this line:
<Button x:Name="closeButton" Style="{StaticResource WindowButtonStyle}"
Content="r" />
Where the "r" represent the normal X we see in our topp right corner.