Most people close the applications by pressing the escape or red key. This doesn't close the applications.
Press the menu button and if you see switch application, then something else is running,
Some apps you can close, and some need to stay running which are browser, home, messages, call logs. Anything else running should be closed.
To close the running application, simply open the application, then hit the menu button (spotted key) and scroll down to the bottom CLOSE is listed. then you will have it closed.