Usually, I press Ctrl-F4 when the pop-up is active to
close it. Failing that, press Ctrl-Alt-Del to enter Task
Manager and 'end task'. But, bear in mind that this will
also close other IE windows.
You can try right-clicking the window when it is minimized on the toolbar
and then select Close. Worst case, end the iexplore.exe task from task
manager.
Or avoid the Web sites that pop-up these types of un-closable windows.
Alternatively you can install a third-party pop-up manager to control the
pop-ups. Also please see the following article: http://support.microsoft.com/default.aspx?scid=kb;en-us;308446