need a little more information. such as what happens when you close a program, you do not say what happens and how you close it, do you use alt+F4 or ctrl+alt+del or what?
if you use ctrl+alt+del do you see any NOT RESPONDING statements next to any programs you have open.
also did you always have this problem or is it after you installed a particular program that the issue arose.
just add a few details so it is easier for us to help you out. can't do much based on what you are saying. it is possible there is a conflict somewhere.