Yea, you close the ones that should not be open/running, and they will not appear there. At least four (and others) wll run all the time: homescreen, phone, browser and messages.
The stay open and running in the background. You can delete them if you don't want to have them at all on your BB. I think you can delete BBMessenger easily, but you will need to follow a special procedure to get rid of PTT. It is posted here on the forum else, search for it I think in the 8800 forum.