I was just wondering if there was a way to exit from fullscreen without alt enter to make it a window so you can press the X?. Escape doesn't do anything and I couldn't find any option in settings.

Did you mean the Options, or the Settings?

Either way, on the main menu, go to Game Options (which is just a terrible name), and go to the Graphics subheading. On the far right, it should be there, a button to decompress your way.