There are two ways to close the History window. The first, and perhaps the quickest way, is to click the small "x" located in the sidebar directly above the View button.
The second way is to click Go in your Firefox menu. When the drop-down menu appears you will notice that the option located all the way at the bottom, History, has a check mark next to its name. Clicking this option will remove the check mark and close the History window in your left sidebar.