This Ahk script-let forces a cmd prompt to obey ctrl+w for exiting. Most folders and tabs recognize this combo. I wanted the command window to act the same way.

#IfWinactive ahk_class ConsoleWindowClass ; exit cmd prompt
^w::send !{space}C
return

If you want to go at it another way, make a batch file with this:

@Echo off
@Exit

Then give it a name like "x.bat". Believe me, "exit" adds up when you're in and out of a cmd window a lot. Eventually you just want in and out as fast as possible. :)