I found this in a few different places around the 'net - hopefully it's helpful:

Close Multiple Windows

If you just opened a number of separate, related windows (a folder inside a folder, and so on), there's an easier way to close them all than one-at-a-time:

• Hold down the shift-key as you click the X caption button in the upper-right corner of the last window opened. Doing so closes that window and all windows that came before it.