its so vital it isn't running on my windows XP machine OR my win2k machine...
I still recommend you close it via the ctrl+alt+del method. It won't cause any ill effects in the long run because as soon as you reboot your computer it will be started up again.
As i guess ur running win98/95, windows will probably let you close it, but if anything goes wrong, just reboot your machine and it will be fine. Remember, don't stop it working at startup if you get any problems once you've ctrl+alt+del'd it.
