Fiddle[
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This is a fiddle for simple dialog. I have tried to use the jquery version you have mentioned.
Please check here. And the close also would depend on the jquery-ui theme you are using.
The normal and common theme is smoothness. Please download the css for this and check.
themes/smoothness/jquery-ui.css.
Hope this helps anyway.
Post back your queries if any.
Thanks.
:)