Hi,
you can try the folowing:
When the user close the window you can send an event msg to your thread
that will perform special code that you will write for this case and
than he will quit from the run method (will shutdown/stop) and then the
garbage collector will do the final work...

Memory deallocation isn't your problem -- Java is a garbage-collected
language, so once the references go away the memory is freed (not
instantly, but your responsibility ends).  It's possible to have memory
leaks by keeping references around accidentally in various ways, but
that's another matter.  Your problem is, if I understand you correctly,
that you've spun off multiple threads and they're not all stopping when
your main thread stops due to the window closing.

The scheme I recommended is a fairly universal idiom for managing
thread lifespan.  Without seeing any code to the contrary, I must
assume that there is a flaw in your implementation, because the idiom
is sound.  Perhaps when you set and/or check the variable upon which
the condition hinges, you are not performing appropriate
synchronization.

Luke

P.S. Every time I get on the topic of Java synchronization, I have to
plug Doug Lea's book "Concurrent Programming in Java."  It's rad, read
it.