Announcing and closing various window/modal types

Hello!

Is there a preferred way to close different types of "windows" within an application. If so, how does the user know which type they have opened and how to close it?

For example, a modal pop-up takes over the app, can only be closed by completing an action, and cannot be dragged or minimized. A window can be closed, dragged, or minimized. As a user, how should a screen reader tell me I'm in a modal vs. a window? Windows can always close using ALT + F4, but models cannot. How should various parts of the app which close, and how will the user know what these methods are? You could even extend this to drop downs, menus, or light boxes.

Thanks
Cynthia