I ran into this issue today at a customer. With Internet Explorer 9 installed on the Exchange 2010 server, you cannot close the Exchange Management Console. When you try to close it, you get the following message:
As of yet, this is unresolved. See http://social.technet.microsoft.com/Forums/en-US/exchangesvradmin/thread/ea4e1ffe-472e-4508-9a14-0735ac6322ca for other reports of the same problem.
The workarounds are to end task mmc.exe every time or uninstall IE9.
You must close all dialog boxes before you can close Exchange Management Console