Apparently - the problem seems to be due to running explorer with ANY command line switches will prevent that instance from closing properly. It closes the explorer window just fine, but the process remains in task-manager.
To test this, create a shortcut to explorer and add a command line switch "/e c:\" which will force explorer to open with C:\ as the root. Now click that shortcut say 4 times and you'll see 4 extra copies of explorer running in task-manager. Now close
them one by one and you'll notice the window closes but the process remains in task-manager.
I have no idea why this happens but to me this is a BUG that microsoft need to address and so far has not done so.
When you have a shortcut to explorer without switches, and click it multiple times, you don't get multiple process appearing in task-manager, it seems to stay at just one regardless of how many explorer windows you have open.
This has been driving me crazy since I use explore 100's of times in any given session so this can chew up ram real quick not to mention impact performance somewhat.
MICROSOFT - Please fix this.