Usually I close by hitting the "X" in the upper right or File-> Close scene. I often leave the model open in SW at the same time, although this prevents saving any "Appearances" that you apply in PV.
Of course, sometimes PV often decides to close itself...
Spurs,
I had the same error message. You can break the references as Eltron has suggested by right-clicking a part, feature, sketch, etc. in the "FeatureManager design tree" and selecting "List External Refs." You can then "Break" the reference to completely remove it (if you only need it for...
