In Workbench the windows are still called "windows", gadgets are the names given to things like the close button, depth button, strings where you type, basically most of the parts of the GUI are called gadgets. These things are usually called "widgets" in other OSs that caught up later in the game.
A "Screen" is the main desktop area of Workbench, and the plane that any other program is open on behind Workbench. You can flip between the open screens with the depth gadgets on the right of the screen's title bar.
To close a Shell window you can type "endcli".
