If a program is not responding, it means the program is interacting more slowly than usual with Windows, typically because a problem has occurred in the program. If the problem is temporary, and if you choose to wait, some programs will start responding again. Depending on the options available, you can also choose to close or restart the program.
When you close a program that has stopped responding, all files or documents that you've opened using the program are closed, not just the one that you're viewing when the problem occurs. Some programs might try to save your information, but it depends on the program that you're using. To help prevent information loss, save your work frequently.