My point with pygame.quit() was that it would destroy the window, which is all you asked for. PyMike is right, sys.exit() should then be called to quit the program. I'm assuming, however, that the program would continue, perhaps starting a new game.
Is your program command-line based? So like when the game finishes, a window opens, plays a movie, and closes? Then you probably just want pygame.quit() to close the window. If your program is window based, then there is no need to close the window. Excepting subprocessing, multiple windows in pygame is not possible. Ian