GLUT and MS VC++ 2003

There is a new problem that has appeared since I compile my GLUT applications using MS VC++ 2003 : when you do an Alt+F4 or when you click on the close button of the window, the program disappears but is still loaded in memory, moreover using up lots of processor time (I mean you have to go through the task manager to really close it).
I’m pretty sure about this, since the same source does not have the problem with VC++ 2002, and that a little program with only GLUT initialisation has the problem.
Anyone already heard of this before ? Maybe it’s just a stupid option activated in VS2003, but i couldn’t find a way to correct it

By the way, just another question about GLUT : how do you create and use auxiliary buffers when using this API ?