It's a 'feature' of Lion, to open up the apps you had when you closed down.
There are a couple of inputs you can makes. When you close down, you will see a dialog box that says ''Reopen windows ehn logging back in''. Make sure this isn't checked.
Also, if you go into sys preferences > General there is a ceck-box that says ''Restore windows when quitting and reopening apps''. Make sure this isn't checked.
There is a long thread running about this and how to defeat it completely (inconclusive), but the instructions above are where you should start.