By using System.exit(0); you would close the entire process. Is that what you wanted or did you intend to close only the GUI window and allow the process to continue running?
The quickest, easiest and most robust way to simply close a JFrame or JPanel with the click of a JButton is to add an actionListener to the JButton which will execute the line of code below when the JButton is clicked:
this.dispose();
If you are using the NetBeans GUI designer, the easiest way to add this actionListener is to enter the GUI editor window and double click the JButton component. Doing this will automatically create an actionListener and actionEvent, which can be modified manually by you.