Edit: See my blog post for a more detailed explanation.
When I need to achieve that, I use a IRequestCloseViewModel interface that I created.
This interface contains only one event: RequestClose. This event is raised by the ViewModel (which inherits from a ViewModelBase class AND implement IRequestCloseViewModel) when it wants to close its associated view.
In my app, all Window inherit from an abstract class ApplicationWindow. This abstract class is notified each time the DataContext changed and in the handler checks if the DataContext support the IRequestCloseViewModel. If this is the case, an event handler is set up to close the Window when the event is fired.
Alternatively, like Kent said, you can use screen controller that handle this mecanism in an external class.