Odd that you don't get that option in the Control Panel. Must be a "feature" of my Microsoft optical mouse.
It's got five buttons. I certainly wouldn't want to be without the standard "right click" which I use a lot. The "bottom left click" is "Back" and the bottom right click is "Forward" and I use both of those a fair bit, too. The scroll wheel button is "Open in a new window" which is useful.
To close an app that's running, I just right-click it in the taskbar and click "close". That works fine - and it's easier than trying to hit the tiny X at the top.