When you install a piece of software that integrates with the Windows shell, typically explorer.exe, you have to restart your computer to complete the installation. If the installer were to close explorer.exe the user would be left without a usable GUI. However there is a supported way of closing the shell process, perhaps saving you from a reboot when installing software. Or just giving you something to test and play around with.

Windows Vista

Press the Start button, and while holding Ctrl+Shift, right-click any empty area of the menu, or the power or lock buttons. You will see this context menu:

Hit Exit Explorer to exit the shell process.

Windows XP

Open the shutdown dialog, Log Off…/Shut Down/Restart, and while holding Ctrl+Alt+Shift hit the Cancel button. Explorer will exit cleanly.

So now what?

OK, so we have made our shell exit. So how do we control the computer now? Any applications you had running while the shell was running will still have their windows on your desktop, but you will not be able to do much with them. We need to restart the shell process. How, you say? Simple. Just bring up Task Manager (Press Ctrl+Shift+Esc) and select New Task… (Run) from the File menu. Enter explorer.exe and your shell will restart.

More info on Aaron Margosis’ Blog:
http://blogs.msdn.com/aaron_margosis/archive/2007/07/17/how-to-cleanly-stop-explorer-exe-on-windows-vista.aspx