I don't use Thunderbird myself (since I'm on Linux, I use Evolution)...But I generally use my Firefox (v1.5.0.9) browser so much during the day that I run it out of memory myself. Opening/closing tabs, forward-only browsing in a couple of tabs to the point where there are a few hundred pages to go to get back to the first page (even though only 30-ish are displayed on the back button)...Doing stuff like that will get you to the point where FF will start opening windows on its own when you click on a link that shouldn't create a new window. Closing that window will close all of FF, as if there weren't multiple windows open.
It's annoying, but something I'm aware of because I do use FF so damn much (being a web dev guy.) Since I haven't the time to go around debugging other people's work, I just accept it and move on. Not that you necessarily should; just relating my experiences.