This question is a bit old, but in case someone wants to close a dialog that is NOT modal when user clicks somewhere, you can use this that I took from the JQuery UI Multiselect plugin. The main advantage is that the click is not "lost" (if user wants to click on a link or a button, the action is done).
$myselector.dialog({
title: "Dialog that closes when user clicks outside",
modal:false,
close: function(){
$(document).off('mousedown.mydialog');
},
open: function(event, ui) {
var $dialog = $(this).dialog('widget');
$(document).on('mousedown.mydialog', function(e) {
// Close when user clicks elsewhere
if($dialog.dialog('isOpen') && !$.contains($myselector.dialog('widget')[0], e.target)){
$myselector.dialog('close');
}
});
}
});