The TGuard application was designed to run continuously and exiting the application was purposely made tougher in order to make sure the user does not accidentally exit the application.
To exit the TGuard application, move the mouse to the upper right of the screen and hover over the right black box until the exit icon appears. See Pic 1 below. Press the left mouse button and the exit window will appear. See pic 2 below. Now press 'OK' if you did not set an exit password and you will exit the application.
Pic 2 - The exit window is shown below: