diff -r 5bf21e9e191f src/video/windows/SDL_windowsevents.c
--- a/src/video/windows/SDL_windowsevents.c	Sun Sep 14 19:44:53 2014 +0200
+++ b/src/video/windows/SDL_windowsevents.c	Sun Sep 21 13:57:20 2014 -0400
@@ -360,6 +360,10 @@
 
     switch (msg) {
 
+	case WM_MENUCHAR:
+		returnCode = MAKELRESULT(0, MNC_CLOSE);
+		break;
+
     case WM_SHOWWINDOW:
         {
             if (wParam) {