How to get my mail through without opening the mail app...

Hi
I have a tendancy to when ive finished using with my apps on my Mac I always go to top left and press quit itunes or quit mail etc
if i do that to mail, obviously when a email comes through i dont get it straight through unless the mail program is open (like on my iphone, if an email comes it just comes straight through)
what im asking is, is there a way for me to get my mail through straight away whilst the mail program is open? - thing is I like things tidy and dont like all these programs left open
also what is the point of the red X in the top left corner?, if im on a website on safari and I press the X, safari is still open isnt it, but if i click back onto safari to re open the app it just goes to the homepage
so really what is pressing the red X on the top left and quitting the app altogether, what is the difference?

Mail has to be open to receive the new mail notification.
Clicking the red x button just closes the window, does not quit the application.
To quit the application, you have to select "Quit......" from the application menu.
When an application is open, a white light indicator will be shown under the application icon in the Dock.

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