The gray window is probably a blank info window you created by accident.
Info windows are overlays that are part of the interface and you can display a variety of stuff on them: your engine control sliders, the radio chatter, the blue text about secondary aircraft systems, the server/chat text box, all of these are info windows.
To disable it:
1) Check to see if you have a mouse cursor on screen. Default key to toggle the mouse between view control and cursor modes is F10, so go ahead and press it if you don't see a cursor.
2) Alt-click on the gray rectangle to select it. This is done to differentiate from clicking on cockpit switches, to prevent from accidentally selecting info windows when you want to manipulate cockpit controls they made it so the info windows require an extra key to be pressed (in this case Alt).
3) With the rectangle now selected, right-click on it (no keys this time, just right-click) to invoke the pop-up menu. Choose the option to close it and you're done.
Hope it helps