Upgrade to Presenter 7.0.7.
The installer can be found here: http://www.adobe.com/support/downloads/product.jsp?product=153&platform=Windows
Captivate is an AS3 product and Presenter 7.0.6 is an AS2 product. The two scripting languages are not compatible with each other, so Captivate 5 SWF files will not work in Presenter 7.0.6 or earlier. If you upgrade to 7.0.7 or Presenter 8, your Captivate 5 SWFs should work.
Instructions for upgrading from 7.0.6 to 7.0.7 can be found here (as it is not the most intuitive process): http://helpx.adobe.com/presenter/kb/upgrade-presenter-7-0-7.html
I'd be surprised if anything were to change by upgrading. Closing the browser window is always fraught with issues. We see the same thing with Captivate. Whether or not you can reliably close the browser window all depends on how it was opened to begin with.
There are solutions available. While not all browsers allow you to close a window without handles; you can close IE (for example) and then attempt to close other browers. If they don't close within a reasonable period of time (e.g. one or two seconds) you can redirects your users to another page (e.g. either your website; or a simple document with instructions to the learner to close the browser using the X).
I do NOT recommend using Flash files with embedded "window.close()" or the like. This will only work if the page that is opened is a simple page and not contained within a frameset (where you might need "parent.close()" or "top.close()", etc). You'd have to edit your Flash file each time to make this work, if it works at all. I recommend creating a Flash file that contains a reference to an actual function you create, such as "closeBrowser". Then you create that function in the HTM file that contains the Flash-based files and you can easily modify that.
I discussed this issue and originally developed some certificates or quit buttons for AS2-based Presenter and Captivate files in an article on Connect Users: http://www.connectusers.com/tutorials/2009/02/certificates/.
I have to update my articles (in my spare time) for AS3-based articles. However, you could easily create a Flash-based button that calls ExternalInterface.call('closeBrowser'); or something similar. The code you'd want to include in your HTM file is found here: http://www.connectusers.com/tutorials/2009/02/certificates/JSCodeForHTMLTemplates.txt
The function to call from Flash is: closeBrowser