Closing programs with middle-click in windows 7/10
7 Taskbar Tweaker (source-code) allows closing windows by middle-clicking the taskbar, as well as some other stuff like "ungrouping" taskbar items.
Now I don't miss the pre-Windows 7 feature where I could CTRL-click multiple windows from the taskbar and close them all at once. Middle clicking is actually faster and I very rarely want to start a new instance by middle-clicking or use those jump lists (I got the standard menu back^^).
update: The 7 Taskbar Tweaker site doesn't play nice with some foreign IP addresses (returns 403:Forbidden). Download 7 Taskbar Tweaker v3.3.2 from a mirror.
You could also do that with a AutoHotkey script.
The following one could be the right thing for you: http://www.autohotkey.com/forum/topic8434.html
Shift+Right clicking on the taskbar button will bring up a menu with Restore, Minimize, Close, etc (or Restore all, Minimize all, Close all if it's a grouped button).
Not the same, but a similar native win 7 behavior you might not be aware of: Middle clicking on the preview image that shows when you hover over a taskbar item will close the window. I'm working on getting used to this, rather than adding a third party tweak program.