General :: Stop Android From Closing Programs On Its Own?

As many of you know, back in October I had to make an emergency switch from Windows Mobile to Android. As you've all read in my posts, it has been a very "mixed" experience with both some impressive and downright pathetic discoveries, but one of the worst things about it (beside the complete inability to sync) is the way that Android closes your programs whenever it feels like it instead of letting you close them. Sometimes I'll be browsing the internet in Opera Mobile and I'll switch over to the email program briefly to check something, when I hold down the "home" key and pick OM from the list of recently used programs, it starts it all over again, and I know for a fact I didn't choose "exit".

Sometimes I'm glad Android "cleans up" (like if I back out of a program that has no "exit" option) because it saves me the trip to the task manager later, but is there any way I can prevent it from closing stuff I'm actually still using?