UPDATE: the interm fixes are not needed anymore as the fix is now included within the official 13 december 2011 update
The last days I have seen many people who are reporting they get an error message when they try to close the Exchange 2010 Management Console: “You must close all dialog boxes before you can close Exchange Management Console”.
Some research found there are many people with the same issue and that it all started after the installation of IE9. Because there is no solution yet, simply removing IE9 will help for now.
Update: Finally there has been posted a resolution by the Exchange team for fixing this problem.
First step would be installing the MS11-081 (2586448) cumulative IE security update.
Second install KB 2624899, this is a hotfix only available for this issue and should be requested by microsoft support.
Update 2: The KB 2624899 could be downloaded direct from this link here.