If you use the "exit" option, that should close them completely.
Follow the instructions for Windows XP in the troubleshooting guide, it should work fine on Vista too.
Since XP it is pretty unlikely for any background tasks to interfere with the game, and using the task manager to close processes regularly is not a good idea as it doesn't give them a chance to exit properly. It's fine to try it a couple of times just to see if any are causing problems, but I wouldn't recommend closing programs that way every time you run the game.
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