By default, the new Control Point is Symmetric. Hold Shift and drag to make the new point Smooth, or Ctrl and drag to make it a Cusp.
Or
Click Close Path in DesignCentral.
See Also
Creating Paths
Drawing Straight Segments Using the Bezier Path Tool
Drawing Arcs Using the Bezier Path Tool
Drawing Segments Using the Freehand Drawing Tool
Converting Objects into Paths
Converting Stroke to Outlines