You're right, it won't help you because it applied to the 0.95 version, the method changed in 0.96. The first time you clicked the X button, it should have asked you 'do you want to minimize to tray, quit, or cancel' with a 'remember my choice' checkbox.. you probably enabled the 'remember my choice' option and clicked on 'quit'...
You can always reset your choice by... euhhh... oups, this is a problem, there is no way to reset it.. there should have been an option in the preferences window (similar to the one for when you closed a tabbed chat...)
Ok then, we'll need to fix that, thanx for letting us know.
Now, for the solution, here's a temporary solution... In aMSN main window, press Ctrl-S to get the status window. In the lower entry box, type :
set ::config(closingdocks) 0
Then try again to close aMSN with the X button, it should prompt you on what you'd like to do (minimize to tray or exit)
EDIT: Ahh, forgot to say THANK YOU for taking the time to search the forums! Yes, you *had* to, but users rarely do