I usually close all browers and other programs when I run the spy ware, this is a good practice, yes??
Not really a necessity just to run the scans.
However, for example, when you tell the spyware software to delete/uninstall/disable any spyware it finds then it may not be able to do the fix if that spyware software is currently running/in use. In those cases and usually the program will tell you that the computer has to be rebooted to complete the fix.
I run scans with Word, FrontPage, Notepad, IE open and surfing the internet and a host of other programs open. When it is time to do the fixes that the spyware finds I then shut everything down.