Axel GERMANY's guide is spot on, however, I would like to add that quitting at the wrong time (usually in-between turns; i.e. after retreat time, but before other player's turn) can cause the game/console to freeze for the other player.
Also, if the quitting player quits when it is NOT his/her turn, the other player is still required to play their turn. When their turn ends, the game will end. If you notice that a player quit and you are the only remaining player left, just use Skip Go to end your turn so that the game ends quicker.