When being prompted to Save a document, if the user selects "Yes", the Save windows appears. However, if the user selects "Cancel" on the Save window, it cancels but the selected operation still proceeds, whether it be Exit, Open, or New.
In other words, when the user clicks "Cancel" on the Save window, we should make it close so they can continue working; not allowing the software to close or in the case of the Open prompt, not allowing the Open window to appear.