Closing Mac window....

Setup:
13" Macbook with current version of Lion.
Running Parallels for Mac 7...with Windows 7 Pro

Issue:
Whenever I close any window over on the Mac side by clicking the little red dot on the upper left hand corner....
the Parallels desktop will immediately pop over onto my screen.
Then I have to 4 finger drag across the trackpad to go back to the mac screen.

It's very annoying.

Is anyone else having an issue like this?

Tom