If the right click menu is overriden and doesn't include an option to close and during exporting, it was chosen to have no availability in the system tray or task bar, it is possible for a gadget to have no method to close it.
If nothing else, I would suggest just forcibly closing it through task manager (CTRL+SHIFT+ESC).
I would also be interested to know which gadget this is that you're running.
-Mike[Stardock Support]
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