There was a blog from Exchange Team about this issue last day, it normally appears after you install IE9 on the machine where you have the Exchange 2010 or Exchange 2007 management tools installed. The error message is,
“You must close all dialog boxes before you can close Exchange Management Console”, though there are no property windows left open.
There is no solution/workaround has been really in place now, however the team is working on to provide us with a fix on this as soon as possible.
Read Exchange Team post for more updates on this