The RadWindow control for Silverlight is a generic window control and is not so closely integrated with the HTMLPlaceholder control - it cannot close automatically when the HTML window is closed, but you could still implement this yourself. What you need to do is to call the RadWindow's Close method when you want to close it.
If you need more information, don't hesitate to ask.
the Telerik team
Registration for Q1 2011 What’s New Webinar Week is now open. Mark your calendar for the week starting March 21st and book your seat
for a walk through all the exciting stuff we ship with the new release!