This is a REALLY stupid question
 

How do you get back to the Pick a Pirate screen (or whatever it is) so that you can properly quit out of the game?

Not so stupid.
I guess we should read the players guide and see if it's in there...
Me... well I just wait until it crashes... this usually happens when I have a hull full of plunder and am getting ready to head to port to get cash. I must have lost a couple thousand in plunder b/c of random sea battle crashes.

Sadly, the "Player's Guide" isn't actually written (as far as game play) as near as I can tell. It gives release notes, lets you change your settings, send a bug report, read some FAQ's and lets gives you a "Play" link. I either have to crash or 'x' out in order to leave.

I use alt+F4 to close the game but then it complain that it crashed.

I play in a window and X out when I'm done. I've had no problems with crashing during sailing, but I can't go through any doors so I can't turn in my Gibbs task.

Oh I am so glad to hear that I am not the only one that can not go through any doos. :)
Every time I try I get the "Black Screen of Death".
As for exiting I then use the "X" on windows to close game, bang my head against the wall, and try again.

I also exit through the window, but the game usually crashes so it isn't an issue. I can't go through any doors either. Aaargh, Elizabeth Starhawk