I felt the same way when I came accross it yesterday.

While the dialog is logically correct I can see how it is confusing. This should probably be a yes/no or ok/cancel box.

I just did a double take...
I was in the process of doing a long sync to my iRiver and accidentially pressed the CLOSE WINDOW X in the top right hand corner of MM.
MM rightly objected with a message...
[i]There are background prcoesses running. Terminate them?[/i]
with two buttons [b]YES[/b] and [b]CANCEL[/b]
It took me 20 seconds to work out which one I should press. :-?
Dose CANCEL mean cancel the processes? Nuh.. try that... phew...