6 months after Internet Explorer 9 was released there is still no fix for the incompatibility issue between Exchange 2007/2010 Management Console and IE9.
Exchange Team Blog:
After you install Internet Explorer 9 on a computer that has Exchange 2010 or Exchange 2007 management tools installed, you might run into a situation where closing the Exchange Management Console (EMC) results in the following error:
You must close all dialog boxes before you can close Exchange Management Console
This might happen even if there are no property pages left opened that you can see. Please note here that not all of our customers who installed IE9 on a computer with Exchange management tools (server or workstation) have run into this problem.
Are there any workarounds?
As it stands right now, we are not aware of a reliable workaround for this problem. Terminating the EMC using the Task Manager (or possibly a command or script) does not have adverse effects on management tools functionality, but is clearly a non-optimal solution.
What are we doing to address this?
The EMC is implemented as a Microsoft Management Console snap-in. We are working closely with both MMC and Internet Explorer teams to find a solution to this problem. Due to the complex nature of several product interoperability that causes this problem, things are still in process and we do not have a firm solution or a date to share with you yet. We do, however, want to say that we are very aware of this issue and several teams are collaborating and working to get this addressed. Once more details are available, we will be sure to share them here.