Your computer (you don't note operating system so I assume XP or Vista) will not remove stuff from RAM when it's stopped being used. It'll only be removed if enough new things have to be loaded in.
Restart your computer, and without opening any programs, check the RAM usage. Also, how much RAM do you have? 512MB, 1GB?
If you then start up a resource-heavy program like a game or Photoshop, then you'll find the RAM usage will increase.