Icons left in Windows Tray

I am running V/5608, with Windows Xp Pro, on a Apple iMac 6.1 and when I open several applications in windows
then close them their icons with the Parallels icon attached still show up on the Apple Dock. I try to use right click "Quit" but there still there. Any ideas why this is happening and what the cure is?

 

May be "Keep in Dock " is checked on icons?

 

John, thanks, that was the first thing I looked at. But no that's not it. I have since re-installed Parallel Tools which always seems to be at the core of problems like this and opening and closing applications now seem to be working. I guess nothing just works all the time....especially windows anything......