How to manage multiform window application?

Question

I am writing an application using several forms. All the forms share the same menu so they are all derived from the same frmBaseMenu I wrote. The problem is, when The X button or the exit menu item are pressed (to close the application) only the form which was originally generated using the Application.Run method, is closed, and the others are still running in the backgroud, and have to be shut from the Task manager. I lloked all over the site to find an article about doing this stuff but couldn't find any.