I'm not used to closing windows by clicking in the bottom right, where the StackExchange pop-up menu has its close link. Wouldn't an "X" button on the top right make more sense? It would also follow Fitts' law.
I agree that it is more natural on the top. Also, and this maybe horrible - but how about a loose OS-detect to determine whether the closer should be on the right or left side? Macs get a closer on the left, like they're used to from their OS interface, whereas Windows users get the familiar right-hand closer.
The OS detect doesn't have to get crazy... if you can detect it with a shallow check, use the findings, otherwise default to the right.
The close button would be inconsequential if the dialog were moved down a bit. See The StackExchange menu is too high.