Yes that's what I mean by highest priority. The CPU is always running at 100%, just while doing normal windows stuff most of the power is going to the system idle process. But when you start up a game that left over processor power is all being focused into the game because it gains priority.
The problem with it taking so long to clear the memory the game is taking up is probably because you don't have enough RAM, I'm guessing the game is using all your standard RAM and then going into virtual memory, when this happens not only does a game slow down significantly but when you exit the game it takes a very long time to clear virtual memory (which is located on your HDD). I have 1gb RAM and the games closes instantly and runs very smoothly.