This error can currently occur on Exchange 2010 servers that have been patched:
When trying to close the Exchange Management Console, the error message below appears even though all properties windows are closed:
„Schließen Sie alle Eigenschaftenseiten, bevor Sie Exchange Verwaltungskonsole schließen“
This error occurs when Internet Explorer 9 is installed on Exchange servers. There is currently no patch for this problem. Therefore, the recommendation is not to install Internet Explorer 9 on servers until a patch is available.
The only workaround so far is to uninstall Internet Explorer 9 or to kill the console using the Task Manager.
Update 28.06.2011: So far there is not much new here, the problem is known at Microsoft, but has not yet been fixed. You should therefore not currently install Internet Explorer 9 on Exchange 2010 servers. According to a forum post, Microsoft plans to fix the problem with a patch in the fourth quarter of 2011.