Arduino and ESP8266 Web server
After countless Trial/error attempts, I was able to put together the proper sequence.  

AT+CIPSEND=0,40  \\Set this for your current connection ID and payload length.
HTTP/1.1 200 OK\r\nConnection: close\r\n\r\n  
AT+CIPCLOSE=0  \\Set this for your current connection ID


Send these commands with the arduino, and it should exit successfully.  You can also flush out the HTTP line with any other information you would like to include, as defined in the rfc2616 (HTTP/1.1) standard