I recently setup a new 2008 Remote Desktop Host in a vSphere 4.0 VM. When a user connects to the host the sessions seem to work well except for IE. When someone tries to X out of, or rt-click/close on the task bar, the IE instance will just stay open. Opening further windows isn't a problem and these ones will close out, it just seems like the 1st window that was opened won't. Has anyone else seen this odd behavior or able to point me towards a resolution?
I would check the event logs when a IE is launched. If that shows nothing I would try Process Monitor in the session to see if another process is keeping IE open.