I've seen several discussions about this and followed what was recommended. The "Launch player in new window" checkbox is selected, and I'm accessing the link on a server, not my hard drive. But when I click the Exit button nothing happens - the window remains open.
It's not embedded on a web page, I'm just accessing via the link to the server. And I am on the most recent version of SL2 with all updates installed.
Any ideas or suggestions?