The easiest way is to implement ButtonClick event handler and invoke Window.Close() method, but how doing this through a Command bindi
Actually, it is possible without C# code. The key is to use interactions:
In order for this to work, just set the x:Name of your window to "window", and add these two namespaces:
xmlns:i="http://schemas.microsoft.com/expression/2010/interactivity"
xmlns:ei="http://schemas.microsoft.com/expression/2010/interactions"
This requires that you add the Expression Blend SDK DLL to your project, specifically Microsoft.Expression.Interactions.
In case you don't have Blend, the SDK can be downloaded here.