I am trying Auto FTP Manager but I am having a difficulty when I think I am closing the application. It is getting closed from the screen, but it is still running in the background. I can see it in the notification tray. I have to remove it from tray as well by right clicking and choosing exit. How to avoid this and close it just once?

Running in the background is the default setting in Auto FTP Manager. To change the settings, click File >> Settings >> General, and you will see the following dialog. Under 'General Options', uncheck the option 'On Application close minimize Auto FTP Manager to system tray', click OK and save the settings. Next time when you close the application it will directly get closed.