Processes close, but dont end..

[exodus454]

I've been having this problem for awhile now. with a few programs whenever you hit the X in the corner and close the program closes, but the process doesnt dissapear in the task manager which means when i close some programs (winamp and firefox are the only ive noticed sofar) they are still residing in the memory, which annoys me.

has anyone else had this problem? could it be virus/spyware problem or a windows bug? im honestly stumped with this one.

any help would be great
thanks!