I came across this today! When I try to close the Exchange Management Console (2010 SP1), it brings up the following dialog box and the only way to come out is to kill mmc.exe from the task manager.
You must close all dialog boxes before you can close Exchange Management Console
A quick google says that many others are having the same ISSUE and that it happens when the box that has EMC loaded has IE9 as well. I checked my test machine and it had IE9 as well. I uninstalled IE9 and things are fine now. As Microsoft is aware of the issue, there should be an update to fix this issue soon. The workaround is to uninstall IE9 or kill mmc from task manager for the time being.