Colin Charles wrote an article called The Spatial Way talking about how the new Nautilus works in Gnome 2.6.
It took me a day or so to get used to it, and I found that I actually like it better. It is kind of the way that windows explorer worked early on, when you open a folder it opens another explorer window.
I know that they have shortcuts to close the parent windows, however I would like to suggest another shortcut. I think that a SHIFT-click on the X in the top right corner should close the current window and all parents. (I used that a lot in the old style Windows) I may just head on over to Bugzilla for Gnome and suggest that.