Do you mean "close button" by mentioning "cross"? As RadWindow is styled entirely by CSS, everything is possible, you just need to either create a new skin or override certain settings in our skins (for example - to remove the background images that RadWindow consists of). Another feature of the control that you may find useful is the VisibleTitleBar property. When set to "false" it hides the entire titlebar of the window along with the control buttons. As RadWindow is rendered on the client, I recommend to use either IE Dev ToolBar or FireBug in order to better understand the HTML structure of the control and play with the CSS properties / values in order to fulfill your requirements.
the Telerik team