Microsoft seems to not have a solid cure for that one. I've seen this in Outlook 2000, 2003 and beat I'll see it in 2007.
You'll see outlook.exe that needs to be endtasked in the Task Manager.
All our computers in the office have Outlook XP. On all but one of them, when Outlook XP closes, any open emails close.
I have not been able to figure out what is different about this computer nor found a setting that would let all emails close when Outlook closes. Any thoughts are welcome, thanks.