Welcome to the forum.
you can press and hold "Alt" + "Del" to check what program is running in the background, Exit out all the programs that you dont want to use.
But keep in mind there are some program cannot be close or exit out, it is always there, like "Browser", "Messages", "BBM", "Home" and "Phone".
The blue smiley means someone in your BBM sent you a message, I believe. I dont use BBM that much, so, I could be wrong.
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