The options for the close button can be found in the main widget option panel.
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.
You can also choose the position of the close button. There are seven different options.
Here you can specify the pixel size of your close icon.