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Is there Exit option not there when you click Options?
I've heard of some phones where the music player can't be closed, someone once said this about the N81
Come to think of it there is no way to close the music player on my 5200 either I think thats just the way the phones are programed. It makes it easier to open. 
It seems like a feature of Nokia phones that have dedicated music keys. That'a the main thing I see in common in phones where this has been reported
now i understand this is an old thread but hopefully this might be helpful for anyone else looking for solutions to this annoyance-
I found the phone will automatically find a folder with songs in it to play, so by making a three or so second long recording of silence using the phone's voice recorder, and then saving that recording to an empty folder (options>add folder), and then playing that file, the phone will play only that file from that folder whenever the front button is pressed, instead of playing through your music or ringtones
If you want to listen to other music on the phone though, playing another song would tell the media player to base itself in whatever folder has your songs, instead of the folder with the silent file in it, so once you were done listening you would have to play the recording of silence again to re-base the player in that folder.
It not only works, but it wont void a warranty like using contact cement
i give WAgrannie credit for creativity though
I found the phone will automatically find a folder with songs in it to play, so by making a three or so second long recording of silence using the phone's voice recorder, and then saving that recording to an empty folder (options>add folder), and then playing that file, the phone will play only that file from that folder whenever the front button is pressed, instead of playing through your music or ringtones
If you want to listen to other music on the phone though, playing another song would tell the media player to base itself in whatever folder has your songs, instead of the folder with the silent file in it, so once you were done listening you would have to play the recording of silence again to re-base the player in that folder.
It not only works, but it wont void a warranty like using contact cement
i give WAgrannie credit for creativity though