Apple :: Making An Application's Menubar Minimize/close With The Application

There's a little quirky behavior that's bugged me a little bit ever since I started using Snow Leopard last summer.

Whenever I minimize or close an application using either the yellow/red buttons on the application or simply hitting CMD+M / CMD+W, the menubar for that application persists, necessitating a click on whatever application behind it before that app is actually "active".

For instance, if I were to hit CMD+W on Firefox right now, iTunes would be staring me in the face, but the menubar would still be for Firefox -- and I'd have to click on iTunes before being able to play something.

Is there any config setting or some way to make the menubar minimize/close with the application I'm minimizing or closing?