Full code after the jump.

View MXML

<?xml version="1.0" encoding="utf-8"?>
<!-- http://blog.flexexamples.com/2008/08/04/closing-a-pop-up-window-using-the-keyboard-in-flex/ -->
<mx:Application xmlns:mx="http://www.adobe.com/2006/mxml"
        layout="vertical"
        verticalAlign="top"
        backgroundColor="white">

    <mx:Script>
        <![CDATA[
            import mx.managers.PopUpManager;

            private function button_click(evt:MouseEvent):void {
                var popUpTitleWindow:PopUpTitleWindow = new PopUpTitleWindow();
                PopUpManager.addPopUp(popUpTitleWindow, this, true);
            }
        ]]>
    </mx:Script>

    <mx:Button id="button"
            label="Launch Window"
            click="button_click(event);" />

</mx:Application>

PopUpTitleWindow.mxml

<?xml version="1.0" encoding="utf-8"?>
<!-- http://blog.flexexamples.com/2008/08/04/closing-a-pop-up-window-using-the-keyboard-in-flex/ -->
<mx:TitleWindow xmlns:mx="http://www.adobe.com/2006/mxml"
        showCloseButton="true"
        styleName="noPadding"
        layout="absolute"
        width="300"
        height="200"
        creationComplete="init();"
        resize="init();"
        close="titleWindow_close(event);"
        keyDown="titleWindow_keyDown(event);">

    <mx:Style>
        .noPadding {
            paddingBottom: 0;
            paddingTop: 0;
            paddingLeft: 0;
            paddingRight: 0;
        }
    </mx:Style>

    <mx:Script>
        <![CDATA[
            import mx.core.IFlexDisplayObject;
            import mx.events.CloseEvent;
            import mx.managers.PopUpManager;

            [Bindable]
            public var source:String;

            private function init():void {
                PopUpManager.centerPopUp(this);
                this.setFocus();
            }

            private function titleWindow_close(evt:CloseEvent):void {
                PopUpManager.removePopUp(evt.target as IFlexDisplayObject);
            }

            private function titleWindow_keyDown(evt:KeyboardEvent):void {
                if (evt.charCode == Keyboard.ESCAPE) {
                    this.dispatchEvent(new CloseEvent(CloseEvent.CLOSE));
                }
            }
        ]]>
    </mx:Script>

    <mx:Label id="lbl"
            text="Press ESC to close this window."
            fontWeight="bold"
            truncateToFit="true"
            horizontalCenter="0"
            verticalCenter="0" />

    <mx:ControlBar horizontalAlign="right" width="100%">
    </mx:ControlBar>

</mx:TitleWindow>

View source is enabled in the following example.