After you install Internet Explorer 9 on a computer that has Exchange 2010 or Exchange 2007 management tools installed, you might run into a situation where closing the Exchange Management Console (EMC) results in the following error:
You must close all dialog boxes before you can close Exchange Management Console
This might happen even if there are no property pages left opened that you can see. Please note here that not all of our customers who installed IE9 on the machine with Exchange management tools (server or workstation) have run into this problem.
Are there any workarounds?
As it stands right now, we are not aware of a reliable workaround for this problem. Terminating the EMC using the Task Manager (or possibly a command or script) does not have adverse effects on management tools functionality, but is clearly a non-optimal solution.
Read more at source: http://blogs.technet.com/b/exchange/archive/2011/09/09/exchange-2007-or-2010-emc-might-fail-to-close-with-quot-you-must-close-all-dialog-boxes-before-you-can-close-exchange-management-console-quot.aspx