Application remains in memory when i close it

Question

Hi to all. I'm a c# + CompactFramework beginner. I'm programming for WindowsMobile5.
The question is:
how do i let my application to close permanently?
I'm having a lot of problems because:
a) I'm using a splash on separate thread, so when i close the application and then i launch it again, the splash does not show itself anymore.
b) The application when closed does not relase hardware resources, so if i launch another application that would use these resources, i get an error.

Thankyou very much for your help (and sorry for my bad english).