1. Save and close all documents and applications
  2. Click on the Start Menu
  3. Click on the head/shoulder icon
  4. Click on Sign Out

When you click on the X in the blue bar at the top of the screen, you are only disconnecting from your login session. This means that when you next login, you'll be back to where you were previously. This also leaves all the applications you had open running.

When you sign out, all your applications are closed and your session is also closed down. When you next login, you'll need to open applications again.