I am assuming for submit you are using a ASP.NET Button and a complete postback in Create_Alerts_Setting.aspx page.
In the Create_Alerts_Setting.aspx page, inside the "head" tag add the following -
<base target="_self" />
And on the submit button postback
Protected Sub Button1_Click(sender As Object, e As System.EventArgs) Handles Button1.Click
// something on postback
ClientScript.RegisterClientScriptBlock(this.GetType(), "closing", "window.close();", True)
End Sub