You must close all dialog boxes before you can close exchange:
So you have SBS 2011 – which has Exchange 2010 and you installed IE9?
And now you see you can’d close the Exchange console?
“Just a quick update – we are still researching this problem. It has turned out to be a bit more complex than originally anticipated. Exchange can not really “fix” this in any way as it is a problem in interaction of IE9 and MMC itself (which Exchange uses as a client). Long story short, right now we do not have any new workarounds (other than what was already discussed in this thread) but the issue has not been forgotten and I am actively tracking it with those other teams.”
The fix is to remove IE9 and wait for a resolution.