You could remove the bar with the close icon with the techinques described above and then add a close icon yourself.
CSS:
.CloseButton {
background: url('../icons/close-button.png');
width:15px;
height:15px;
border: 0px solid white;
top:0;
right:0;
position:absolute;
cursor: pointer;
z-index:999;
}
HTML:
var closeDiv = document.createElement("div");
closeDiv.className = "CloseButton";
//append this div to the div holding your content
JS:
$(closeDiv).click(function () {
$("yourDialogContent").dialog('close');
});