Save as before do you want to save

It's taking me a little time to get used to Office 2007, but one thing that
really really annoys me is that when I close a document - even if I don't
make any changes - it gives me the "save as" prompt before it asks me if I
want to save changes. Then if I cancel, I get the prompt for whether or not
I want to save. I don't remember 2003 working like this. Does anyone know
if this is a user preference that can be changed, or something that I have to
live with?

Thanks!