Update: There is a hotfix now available to address this issue, though you have to ring MS support directly to get hold of it at the moment. The plan is to roll it into an IE9 update in the near future. More details can be found here
There is a known issue with the Exchange 2007 and Exchange 2010 Management Consoles on machines with Internet Explorer 9 installed. This issue causes you to recieve the error: “You must close all dialog boxes before you can close Exchange Management Console.” when trying to close the EMC even though there aren’t any dialog boxes open.
As it stands, there are several workarounds: You can uninstall IE9, you can kill the MMC process from task manager every time and a few people have reported success with turning off “Internet Explorer Enhanced Security Configuration” for Administrators and Users (Servers only) and then adding https://localhost to the “trusted sites” in IE.
According to the Senior Program Manager for Internet Explorer Product Quality, Mark Feetham:
[...]we do now understand what’s occuring between the EMC, MMC and MSHTML. We have enough information to complete the investigation and have moved to looking at ways to improve this situation.
Rumoured ETA for a fix is Q4 2011.