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I've never worried about it. What would be the problem? Is it because they hog resources a little bit?
 
well i guess they could be considered "applications" perhaps, and how installers always want you to close all open apps
 
I don't usually even close other apps so I imagine having the widgets running would be fine.
 
Theres no reason to close any programs when installing stuff. I always have AIM running and usually safari when installing small programs.
 
The only time I recommend closing applications is when you're updating the very application you're running, or updating the operating system (everything should be closed). This applies to Windows and Linux as well as Mac OS X.
 
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