What’s this; please close all programs?

Please remember I’m a “NEWBIE”, need questions answered in very easy format, nothing too technical.
While trying to load some programs a dialog box appears that says something like this; “please close all programs before installing this”. What are they talking about? How so I do this? And do I have to re-open the programs afterwards? How do I know what programs are running in the background?
PLEASE!!!! Simple easy to understand english and step by step instructions; Gratefully Yours; eagl.