I don't understand - have you tried to just close it?
Or, after closing it, does the installer still say to close it? If so, check with the Task Manager (Processes tab) if iexplore.exe is still running in the background. End it from Task Manager.
Also make sure that no messaging programs are running.
To add on to what Pat suggested, I typically find that I have to close Skype if Flash Player won't install.