Visual Zip Studio is a truly multitasking program - even within itself, it has many operations happening simultaneously. These operations are referred to as tasks.
You can view a list of all active tasks with their descriptions:
Click View->Task List
You will not be able to end your Visual Zip session unless all active tasks have ended. You can force tasks to end yourself, click "Terminate" in the Active Task List window to do so after selecting the task you wish to end.