Gonna guess its an Acrobat Reader glitch - I'd recommend you make sure any instances of AcroReader are closed, uninstall it, then download and install the current version (v7.0.5, I think). When you're going through the install routine, it seems to me, if I recall correctly, there's an option to keep it, or at least its component "acrohlpr" or "acrord32" or something like that, from loading at startup. And don't let it add its toolbar to your browser.
Pain in the patoot, but relatively unavoidable.
Timber, thanks. I kinda figured that, but it is peculiar that it only happens when I close A2K.
Perhaps toolbar(s) related?
Guys, this is really strange. I had been closing down A2K by clicking on the "X" on the upper right hand corner, when I got the error message. I wanted to see what would happen if I closed the program via the taskbar. I had no problem. I did that the rest of yesterday, and this morning.
I then wanted to see what would happen if I closed it down by hitting on the "X". I then put my fingers in my ears, and waited. No grey box with the nasty message. I did it a few times. Nothing.
BTW, yesterday, when I was embroiled in this problem, I shut the computer down and rebooted to see if that would fix the problem, and it didn't.
I don't know what caused the problem, and what caused the problem to go away. In the immortal words of Dear Abby, "If it ain't broke, don't fix it"!