I had to minimize and close manually, there must be some way to close it in-game!

Hit the Escape key when you are in the hover car. Hit Y to exit. This will take you to the main menu. The last option on the menu is Exit to DOS. Choosing this should close the program.

If you die when you are shooting or investigating, it will also take you back to the main menu. I am not sure if you can get there from outside the car without dying because I haven't tried. I always go back to the car to save my game before I exit.

Y to exit, huh? I'll have to give this a try. I installed the game the other day and also was alt-tabbing my way out of it.

Thanks for the hint.

Actually, the Escape is the key to exit. You hit the Y key when it says "Exit? Y/N". This is one of those programs that asks you to confirm everything.