**Duplicated reply; I don't know why; sorry***
I'll assume you use Windows XP and Internet Explorer; if you're using a different OS/Browser, reply and explain.
I you mean to close all Internet Explorer Tabs and windows completely, but still there's a stubborn windows that stays open, use the Task Manager (Press CTRL+ALT*DEL keys simmultaneously and click on "Task Manager"), click on Processes Tab and, from the list under "Image Name", look for "iexplore".
For each "iexplore" instance, click on it, press DELETE key and confirm toclose it down.
Internet explorer will be killed.
Hope it works.