You must close all dialog boxes before you can close Exchange Management Console

I thought it was just me but a bit of research shows that loads of people are getting the annoying error above when they try to close the Exchange 2010 EMC.

There is a massive thread here: http://social.technet.microsoft.com/Forums/en-US/exchangesvradmin/thread/ea4e1ffe-472e-4508-9a14-0735ac6322ca/ but to save you the trouble of reading it in full there is a simple fix...

Uninstall Internet Explorer 9 and the EMC will work correctly again.

Then I suggest keeping an eye on IE9 hotfixes to see when the bug is fixed.