So what happens when you try and close it?
The image you posted is correct because you can’t terminate the process, thanks to self defence

A little OT, but:

(though again can't see the point with the icon in the tray)
Win 7 hides icons by default, and I personally only like the 4 system ones (Action Center, battery, Wireless, and sound) So if you have a dock, it may be easier than the icon. (I use fences myself and have a shortcut on the desktop)