There are various reasons this happens. In a nutshell, something on your system is still "hooked" to iTunes, so it can't close.
Are you using any iTunes plugins?
If not, then the other most liekly cause is antivirus software that is not letting iTunes save the library file when it closes.
Other people have had good luck uninstalling the Apple Mobile Device Manager from Start > Control Panel > Add/Remove programs.
That program is only needed if you have an iTouch or iPhone:
http://docs.info.apple.com/article.html?artnum=302488