We've been experiencing something along these lines too. The exact behavior is best described at this site, which I found while Googling for a solution:
http://jira.public.thoughtworks.org/...s:all-tabpanel
Others in this thread had builds freezing on steps, whereas our builds complete, but the EXE never closes. This seems to have only become an issue in the last few weeks... Unfortunately I can't track down any specific changes in our build environment (Windows Updates could be the culprit).