Try closing PicoScope using the 'X' button. Pull the USB cable out of the PC - if the 'Check USB cable' message appears click 'Cancel'.
Next either close PicoScope and restart it or click File -> Connect Device.
The other option is to open Task Manager (click Ctrl + Alt + Delete), and find the process named 'PicoScope.exe' in the Processes tab. Select it, then click 'End Process' to close the application.