How do I close full screen pop-ups that do not have menu bars?

A quick way to do this would be to use your Task Manager. This displays a list of all the programs/windows you currently have open. To summon the Windows Task Manager you can press control, alt and delete simultaneously and then select the 'applications' tab. Alternatively, you could open the Task Manager by selecting the run option from your start button and typing in 'taskman'.
When the applications list appears, search through it for the title of the pop-up you wish to terminate, select it and press the 'end task' button. A quicker way still, however, would be to press alt and F4 together to close the active window.

Refer to the pop-ups tutorial for more proactive solutions.