I can answer most of your question. There are actually two parts to it.
When you open a preview window, a smaller window should open with it that gives you the option of closing the preview window. Sometimes this smaller window gets lost behind other open windows (such as the preview window itself). Move the preview window out the way and hopefully you'll find "Click OK to close preview" behind it.
To view all the currently running threads look under "View > Threads". There you can also pause all threads, change their priority, stop and resume them.
However, a preview window is not a processing thread exactly, at least not in the sense that DigiFlow defines them and you will not be able to use this option while you are using one of the tools (I think this is to stop you from having several tools open at once and confusing them but I don't know for sure).
I do not know how to get rid of a window when the window priority has a window that you cannot close, open and in front of all other windows. In this situation I tend to close the whole program.