Do you have HTC X button/task manager or some other "app closer" utility running? Because otherwise, tapping the X in the upper right corner should not cause your music to stop.
So assuming you have one of those programs, what you need to do is set Windows Media Player (or whatever application you're using to play music) as excluded (meaning that instead of closing it, tapping the X will just minimize it instead, leaving it running (playing) in the background.
If you want to reply back with what program you're using to close apps then we can give you specific instructions.
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