You are going to start getting all sorts of responses, and possibly a debate on the merits of Task Killer apps, but bottom line here is that
a)Android handles memory completely differently than Windows, and you should really let your device manage the apps and memory itself
b)If you really feel like you need to have that control you can download an app like Android Task Killer from Rechild (available in the Market) and it will let you kill apps
c)When you update to ICS this will completely change again