IE8 Close Dialog Usability Fail

I am willing to admit that it could just be me but I am going to put this out there anyway. I don't like the close dialog in IE8.

I don't think it is designed very well. Where is the "Whoops I didn't actually want to close anything!" option? It's there it is just not immediately obvious even to someone that spends way too much time in web browsers everyday.
It is the "X" in the top right corner. I know it is consistent with how you close windows across the board. But how do you know if you click on it whether it'll close that dialog box or randomly choose one of the two options displayed with the dialog buttons.
Seriously how hard would it have been to put a "Cancel" button or a "Don't Close Anything" button.

I'll crawl back under my rock now.