What you want is a task manager.
I know MemMaid has one. A trial can be found
here. I always recommend buying this software as it is truly the best all-in-one clean/maintenance program.
A free program that also works is
Task Manager.
My recommendation is to make sure you just do not click the "x" (As that only minimize it) but to quit it out via: Start-->Settings-->Systems tab-->Memory-->Running programs. Another thing I like is to run
Oxios' Hibernate once in a while. It saves you a few MBs of memory. Memaid's ReclaimRAM feature is the same concept.