You simply need to remove the hardware event on closing the application. Use HW.RunAppAtEvent("SD CARD\Lecteur\LecteurAudio.exe", HW.evNone) in the Forms Close event.
I do as you said to me and the béhaviour is the same: the programm named "SD CARD\Lecteur\LecteurAudio.exe" runs when I light on my PPC (HP IPAG 2490).