In Tools | Options | Keyboard...
- Add
CTRL+Was a Global shortcut forWindow.CloseDocumentWindow - Remove the
CTRL+Wshortcut forEdit.SelectCurrentWord
The caveat to this is if you are used to using CTRL+W to select the current word. If you do, find another shortcut that works for that.

For those on Resharper, it appears Ctrl+W is used by a couple commands. In order to get Ctrl+W to close a window, you have to clear the Resharper keyboard settings first.