Leftover sound on my computer..?

If i am streaming a movie or a tv programme and i pause it or exit out of the window the sound of the video continues playing even after ive closed down all the windows and programmes. its very weird and can be very irritating especialy if im trying to work and it makes it impossible to watch another video. im wondering if anyone has heard of something like this or if you know how to get rid of it. Thanks and sorry if its unclear.