I tried clicking all over the place, especially trying to pick that Teddy up. Nothing seemed to work.
Ah, with JessyMusic next to the game the audio works. Alright.
The font doesn't look bad, it's just small. Surely there's an easy way to increase its size?
I'm sure you can use the windows' own 'X' button to close it. Quitting within the game is usually up to the menu anyway and you already have Escape to go back to the main Menu.