1. Right click anywhere on screen and select the 'PC Tools' option
2. Click on the Miscellaneous bar to expand it
3. Click on the 3 in the Mode Buttons bar
Here you will find the Close Door button. Make sure you have nothing else selected, and then click on the button. Your cursor should become an asterix icon, and you should see a message in the combat log about entering "targeting mode". Now click on the door and it will shut.
Here is a screenshot of how PC Tools looks:

Do note: This is only required for doors that AT you to another area. You do not need to do this for regular doors (EG all the doors between the shops in the Rivermoot Indoor zone)