You probably know that in XP (all versions), Ctrl-Alt-Del doesn’t reboot the PC (as it does in Win98), but rather brings up the Task Manager, which shows you (among other things) all the top-level tasks (like "Word," "Excel," "Eudora" or what not) that are running; and the individual low-level processes created or controlled by the operating system and the top-level tasks.
You can use the Task Manager to terminate a hung or errant task or process. You simply select it from the list and click "End Task" or "End Process."
Of course, you also can use this to kill a task or process that isn’t hung, although you must do so with caution: A forced exit may cause you to lose any unsaved data generated by a task, for example. But if there is no unsaved data in play, then usually no harm is done.
But you don’t really need Task manager for that: The "Tskill" command (without the quotes) actually can do the same thing. If you’re running a program called XYZ, you can kill it by typing
TSKILL XYZ /A