I've never used ME extensively but i think for what you're looking for you'll need to do CTRL ALT DEL as before and then click on 'Task Manager.'
Then you'll probably want the Applications Tab.
Highlight what you want to close and then click End Task.
p.s. I hope you're only doing this for programs that have crashed and not as a general close all. You should find XP to be way more stable than ME and should therefore not require this method that much.