well a shorter way to get rid of it would be to hit ctrl + alt + del and end the task for the program that wouldnt go away. But if you want to try and fix it you can try clearing your startup by going to run and typing "msconfig" (with out the quotes) and going over to the startup tab. Providing you dont have windows 2000. The would prevent programs from starting up and running in the background all the time. It could be one of those programs causing it. If you dont know what the names mean you can type them in the website and find out what they are. http://www.windowsstartup.com/wso/search.php
Windows 98 you need some stuff running but if you xp the only thing you really need running is your virus scan.