Here is the important part of my JS code:
function createClose() {
  var cButton = document.createElement("img");
  cButton.src = "close.gif";
  cButton.style.cursor = "pointer";
  cButton.onclick = closeWindow;
  document.getElementById("my_window").appendChild(cButton);
}
function closeWindow() {
  document.getElementById("my_window").style.display = "none";
}
The image gets created and appended, but there is no onClick event invoked when it is clicked. I also tried using an anonymous function, but that didn't work either.
No, I'm not going to use jQuery (although I believe you that it's easier).