[Suicide Junkie]

Often, programs like that will do the old
"You have clicked close. This program will continue running, minimized and hiding in the system tray"

Check the tray on the bottom right, and you should be able to shut it down by rightclicking the icon and saying exit/quit (again).

I'd reccommend disabling the "Launch on startup" option (if there is one). Then you can just reboot before going Online. A good idea to maximize the resources available for a game anyways.