‘Window closes on ALT-F4’

PuTTY

4.9.3 ‘Window closes on ALT-F4’

By default, pressing ALT-F4 causes the window to close (or a warning box to appear; see section 4.9.2). If you disable the ‘Window closes on ALT-F4’ option, then pressing ALT-F4 will simply send a key sequence to the server.