NSW 12.0 Basic task bar icon

Each time I open NSW there is an icon the shows up on the task bar (by the clock).

But when you close the program the icon stays on the task bar.

Shouldn't this close itself when the program is no longer running.

 

How can I get this to close out when the program is closed and not

running?

 

NSW 12.0 Basic 

Windows XP Pro SP3