Are you ending the Application or the Process?
Many frustrations with the "End Application" window of Task Manager prompted me to stop using it -- if you End Application, Windows actually asks the program whether it can force shut-down. If you end the Process (in these case it'll be "iTunes.exe") it'll shut down immediately.
And I believe the "busy" cursor is just a simple initalization delay.. when you open iTunes it searches for an iPod, airTunes connected speakers, the Music Store, and a few other things. Try going into the iTunes options and disabling everything you don't use if you want to speed up load time.
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