Do a little Google searching on Task Killers, if you're new to Android devices. Long story longer, many (myself included) don't think you need them and that they actually cause more problems and performance issues than they solve. Android has a very capable memory manager, it just needs a bit of tweaking to make it better.
Download AutoKiller, and experiment with the presets provided. Those tweak the Android memory manager, and doesn't cause problems like a task killer application would.