The options for the close button can be found in the main widget option panel.
Icon
Here you can upload a close icon. The widget comes with two .png files that you can use. You can also create your own close icon, save it as a png, jpg, or gif, and then click on 'add file' to upload it.
Position
You can also choose the position of the close button. There are seven different options.
Size
Here you can specify the pixel size of your close icon.