... should be closed
In most cases, the "... should be closed" message in Wordfast Classic is caused by a "ghost" instance of Word running in the background, although no Word windows appears to be open.
Please press Ctrl+Shift+Esc to open the Task Manager (OR press Ctrl+Alt+Del, and then select the "Start Task Manager"). Click the 'Processes' tab, and sort running processes by alphabetical order and see if there is a winword.exe process. If so, select it and click on the 'End process' button in the lower right corner. This should solve your problem.
Note: If this happens frequently, consider creating a new account on your machine, which should solve the issue.
If you have this issue for only one document, try to select all the content of the document and copy it to a new document, close the document causing the issue, and then try again with new document.