I invite you to try it, just click the new tab button for a while and watch Process Explorer. Watch the jobs it crates, watch the handles counter, watch the threads counters.
Then I clicked first the big X in the upper right corner, IE8 asked me if I really wanted to close with all tabs or current tab, I clicked all tabs, dialog went away and nothing happened. I clicked file - exit, it asked again, I clicked all, then it closed all but 4 tabs who apparently had locked in the "connecting" state which is a weird state when each new tab was set to open a blank page, thus nothing to connect to.