I get "One or more Steam applications are currently running. To exit Steam, you must first shut down all Steam applications." when trying to exit Steam.
The most likely cause is a third party game program running in the System Tray or in the background.
Please check the System Tray to make certain that programs, like the Rockstar Games Social Club, are completely closed and then try exiting Steam once more.
Please also check the Processes tab in the Windows Task Manager to make sure no other game processes are still running.