No problem. Sorry if I wasn't of any real help in this case, but if there is no option in Nestopia to turn that setting off (so that it closes the emu instead of bringing up a menu) then there is probably not much we can do unless you wanna get in to more complicated AutoHotKey scripts. With RetroArch though (which I use for most systems in those tutorials), F1 brings up the menu (which you need a lot) and Esc will close the emulator.
The Tutorial that just went up today is for SNES, but it is a back to basics tutorial and you can apply what you learn there to other cores, so I would suggest watching that tutorial if you need some help.