How to close the application on iPhone without keeping it in multitasking bar?

Yesterday I bought an I-phone so I am trying to learn its features everything else is almost simple but I want to ask you are there a way how to close the application without having it displayed in multitasking bar? Or to disable multitasking entirely, tell me in detail and suggest me with some of its features and precautions that I must take while using my I-phone?

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