My IE 8 always closes very quickly for me. I've never had any trouble exiting the application, but I must say I'm not really satisfied with its current browsing performance. Sometimes it hangs when I view a website with too many graphics or open several tabs at once.
This is why I've decided to install Google Chrome on my laptop. I found it to be one of the fastest and most reliable browsers available out there. I've tried Firefox and Safari before but I like GC best. I agree with MikeHawthorne
--it does take a while to get accustomed to it especially if you're an avid IE user, but give it a try and you'll be pleased with its performance.