I feel that the word close is used with something which has lid or doors.
Can I say close the TV?
Can I say close the videos?
If not, then what is the proper way to talk about them?
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When it comes to machines or devices (TV, radio, lights, etc), you use turn off as Cardinal told you.
Now close is not necessarily used with lid or doors, you can also use it along with prepositions to create a new meaning. Namely, close in (surround or envelop), close on (get near to something or someone), close up (join together) and so on.