When an IM conversation is finished, I close the conversation. Formerly, only one conversation window would shut down but now all of them close when I click on the x to close one. I have looked at the setting options but can't find how to reverse this change.
Without seeing what you're seeing, it's hard to guess what's happening, but my guess is that you're using tabbed conversations and you weren't before.
To change this, from your contacts list, click on the gear icon in the top-right of the window (kind of looks like a sun). If you see a pop-up menu with File, Meet Now, etc., go to Tools and Options.
Now go to the IM section and uncheck "Enable tabbed conversations" and click OK. Now each conversation will open in its own window and closing one will not close the others.