If you do not specifically exit out of an application on the Droid, it continues running in the background. In most cases this does not cause any issues, as background applications do not take up as much processing power as if they were actively being used. However, if you have an application causing problems or you feel that the background applications are causing too much battery drain, you can close it using an applications management panel.
Go to your Home screen. Press your Droid's settings button. Tap "Settings."
Choose "Applications." Select "Manage applications."
Tap "Running." Choose an application you want to close on the Droid. Press "Stop" to force the application to quit.