Getting rid of annoying window

When you close an image with CMD +W, rather than clicking the red close button, the image closes but a very annoying windo is created showing your most recent files. This you cannot CMD+W to make it go away.  I have found that in Settings you can turn off Auto show the Home Screen, but that is simply repaced by another PS window that agian there is no destop way of closing. Is there any way to turn this off? Its such a waste of time.

Thanks