Restarting the computer every after installation.

Hi guys,
I know everybody faced this problem at some point— when I try to set up alatestapplication then Windows warns to reboot first or after installation. Also sometimes it tells me to close all of its applications. Why is this happening? Is it really natural?
Need some advice.
Thanks.

Error:
Windows Live Essentials 2011
Restart your computer
Please restart yourcomputer andtry installing again.
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A previous installation requires your computer to restart.
Error:0x80040800
Source: pending-reboot
