Photostory like many Magix programs does not have a Close option on the File menu.
Are you wanting to close the current slideshow and then start a new one?
If you wish to start a new slideshow click File, New - you may be asked if you want to save the current slideshow - click Yes the current slideshow will close and a new empty slideshow will start.
Or
Do you mean you cannot close the slideshow to exit the program?
There is no close - exit the program and again it may ask you to save any changes - click Yes and the slideshow and program will close
Or
Do you mean you cannot close the program at all? In which case are you getting any messages?