When in REPORTS and I click out of "Columns" window would like for window to disappear

When in “Reports” tab. When I click on “Columns” and customize my sort I instinctively click out of window to continue on with sorting activities but I always get hung up on having to hit the [ X ] close button or the ESC key and then move on. Is it possible (simple fix) to modify window to just click outside window w/o having to hit [ X ] to keep moving?