So it's a Finder folder in "/Proofing Tools" that's open? Not a file of that name opening in an app?
In any case, restart and uncheck the option to reopen apps and windows (if you are running Lion). Restart, and nothing should be open.
If you are running SL, try closing the Finder window, then using Apple menu > Force Quit..., relaunch the Finder. It shouldn't open any Finder windows on the relaunch. (Try this on Lion, if the above restart method doesn't work.)