Windows Mail, why does it refuse to close when i shut it down

I am still keeping up with this Windows Vista crap. Every time I shut down Windows Mail it decided to keep downloading the emails in the background. I see windows has a history of not listening to what a person tells it to do. Its like Vista has some artificial intelligence, but just enough to annoy you and do the total opposite of what you want it to do.

Usually in Ubuntu when I told something to shut up and go away, it did. With Vista I have to negotiate with the programs and sometimes, just sometimes they might give me my cpu processing power back of my laptop.