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You can not logically exit the game without saving. I agree it would be nice if you could but......
What I have done when I have really screwed-up, is go into Windows Task Manager and "End Task". When you go back into the game it loads up your last saved game. I think there is possibly a chance of some corrupted data if you do this. Probably not a real good way to do this but I have not had a problem with it.
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