I am having a simple question, but somewhat questionable. This is the situation.
In my application, you can open new windows by clicking the new button. When you click the "X" (close) button, it will first ask whether you want to save your work. If no, it will use system.exit(0) to exit. The case is, this closes all the open "new" windows. I want to close only the window which user selected the option "no save". How can I do this? Please help!
System.exit(0) will shut down the JVM currently running your application, and is almost certainly not what you want to do here.
You almost certainly want to do this using a more idiomatic way in Swing.
For simply close the opened JFrame without exit the application you have to specify what to do on close:
frame.setDefaultCloseOperation(JFrame.DISPOSE_ON_CLOSE);
For advance control on window closing events, you have to use WindowListener. See here for the official tutorials.
It is a text editor, like notepad. Uses "new" to open new "windows"."
Alternatives (all mentioned in or linked from this answer to The Use of Multiple JFrames, Good/Bad Practice?):
JTabbedPane JDesktopPane containing JInternalFrame instances CardLayout 
WindowUtilities and WindowTiler in TUS are a solution for this problem
System.exit(...)if you don't want to kill the JVM. Do tell us more details if you still need our help. What kind of "windows" are you displaying? JDialogs (this would probably be a good thing to do)? JFrames? How does your code record the state of the windowing object -- whether it is to be saved or not?JTabbedPane2)JDesktopPane/JInternalFrames 3)CardLayout4) ..