You must close all dialog boxes before you can close Exchange Management ConsoleWell finally! A fix is now available for this issue.
Here is the direct link to the Microsoft download page for the hotfixes. There are two versions, one for Internet Explorer 9 for Windows Vista SP2 or Server 2008 SP2 and another for Internet Explorer 9 for Windows 7 or Server 2008 R2.
See "A fix for the interoperability issues between Exchange 2007 and 2010 EMC and IE9 is now available" on the Exchange Team blog for more information about this hotfix. The article tells you to call Microsoft Support for the hotfix. I'm posting the direct link, above, to save you that step. You will need to supply your email address and the tool will email the hotfixes you select to that address.