When you have an open window in the taskbar, right-clicking it brings up a different context menu known as a Jump List. Instead of a menu to manipulate the window (minimize, maximize, close, etc.), you are given a menu that is unique to the application. Generally it will have a list of Recent files open within the program, an entry to launch the program (or another instance of the program), an option to pin this application to the taskbar, and Close window.
By pressing 'c' on this menu, if there are any items that begin with the letter 'c' they will be highlighted. If the only item in the menu is Close window, it too becomes highlighted but is not selected. You would still need to press enter or click Close window in order to perform the action.
I discovered that if you hold down the Shift key when right-clicking, you receive the old context menu as you did in previous versions of Windows. With this present, you can press 'c' and it will close the window.