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Windows Vista may be a revolution in stability (at least if you're used to, say, Windows Me), but that doesn't mean that programs never crash or freeze. They crash, all right—it's just that you rarely have to restart the computer as a result.
When something goes horribly wrong with a program, your primary interest is usually exiting it. But when a program locks up (the cursor moves, but menus and tool palettes don't respond) or when a dialog box tells you that a program has "failed to respond," exiting may not be so easy. After all, how do you choose File→Exit if the File menu itself doesn't open?