The Most Useless Program EVER!

Ruby with Shoes, 110

Shoes.app{button('Close'){exit}
p=para
t=Time.now
animate{u=(t-Time.now).to_i+10
exit if u<0
p.text=' '*u+?<}}

Makes a little arrow that pushes a "Close" button. (Pushing the close button manually also closes the window.)

Windows Batch, 4 bytes

Save the following program to a .bat file in your user folder (C:\Users\username):

Exit

When executed from the Start, Run prompt, a new window opens, types the command Exit and executes it.

TI-Basic, 3 bytes

DispGraph:1

hex: 31 3E DF

Explanation

DispGraph Displays the graph (a graphical window)

:1 Simulates a press of 1 (by storing 1 to Ans at the last step of a program), which takes the calculator back to the home screen. A user could do the same thing.