Its not a perfect sollution, but works perfectly for me. I simply wrote a small script, that I can pass the name of a task to, and it will kill it.
To Kill Winamp for instance, I have the following line in my Exectbl.ini:
On the Exit button in my skin, I have:
This way when I close RR, Winamp is forced to close.
Simply change the winamp.exe to any process you want to kill and create more lines in the exectbl for each thing you want to be sure is closed, Rainlender for instnace:
SO now your exit button would have the following code to close both:
Attached it the zipped up .exe