I have been plagued recently by a recurring problem with Visual Studio 2005.

When I attempt to exit Visual Studio, I receive the error "Visual Studio cannot shut down because a modal dialog is open" and I am not able to exit.  The rub is that there is no modal dialog - close every visible window in VS, close all other apps, resize, move and minimize VS and I can find no dialogs, modal or otherwise.  Some bit inside VS is set incorrectly convincing itself that a dialog has not yet been closed.

The only solution was to open Task Manager and kill Visual Studio.

I have automatic updates turned on so, if this is a bug, I expected it would have been fixed by now. 

I found a number of posts and threads about this issue so it is not uncommon but nearly every post did not list a solution.

After some digging, I discovered a hotfix for this problem that is not included in the normal Windows updates. 

You can read the details of the problem from Microsoft here http://support.microsoft.com/kb/936971 and you can download the hotfix here
https://connect.microsoft.com/VisualStudio/Downloads/DownloadDetails.aspx?DownloadID=7259

One important point.  Visual Studio must be closed before installing the hotfix so you may end up killing the process via Task Manager one last time.