The CLI (Command Line Interface) is not a "window" or program in Linux like it is in recent versions of Windows.
So you are not trying to Exit the CLI, you are trying to Start the Graphical User Interface (GUI).
First off: Have you restarted the computer? And what version or Distro are you using?
Instructions for starting KDE from CLI in opensuse are to run the command:
The first thing to do is to make sure that KDE will start up from the command line. On SUSE, KDE is installed into the /opt/kde3 folder and all the commands can be found in the bin sub folder. This directory will probably not be in your path as KDE set this in its start up routine.
Your path is a list of folders where Linux looks for commands (Tools, Utilities and Applications) to run.
You can find out your path with the command line:
$ echo $PATH
The command to start the KDE GUI (Graphical User Interface) is a shell script called "startkde".
The script checks to see that everything is cool for it to run correctly, and adds its command folder to your path.
It does lots of other checks and sets up its graphics, fonts, and user preferences. Then it starts the X server and KDE.
Running the command from the command line will let you see any error messages in case it does not start properly. What you do about these is beyond the scope of this answer as there could be many reasons why it didn't work. Hopefully the error messages will be self explanatory.
You can run this command in two ways. Either by giving the full path name thus:
$ cd /opt/kde3/bin
If none of those solutions work, I'd recommend running a repair or reinstall of KDE.
Try using xwmconfig to (re)set your X Window Manager to KDE