just cause it's closed doesn't mean it's not running still. ctrl-alt-delete and bring up the task manager, end the processes of all the progs you created. If you don't know what it is and it's not one you personally created, don't end it, it may be important.
I'm running XP and have been compiling with DOS C compiler (djgpp).
Wow I hadn't thought of DJGPP in forever. Was hard to get a 'real' compiler back in the day when I did. If you find it hard to use you may want to look into any number of alternatives, I'm fairly sure Microsoft's visual C++ will work just fine if you only use C.