I happily wrote my new program, and it worked like a charm. It was simple and at first there was no need for a menu until I decided to add more functionality, so a menu was needed. BAAM! The image below explains my problem better.

, ? - , , - , . , , . , . - - ? MenuItems - . Unset MenuItems . , "" . "ApplicationCommands.Close".
, Windows 7 x64 WPF Visual Studio 2010. ! !
<Window x:Class="TestDrive.MainWindow"
xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
Title="MainWindow" Height="350" Width="525">
<Grid>
<Menu Height="23" HorizontalAlignment="Left" Name="menu1" VerticalAlignment="Top" Width="200">
<MenuItem Header="File">
<MenuItem Command="ApplicationCommands.Close" Header="Exit" />
</MenuItem>
<MenuItem Header="Edit" />
</Menu>
</Grid>
</Window>