Some users report that notes stick and never turn off even after they press the stop button. This is noticeable with Finale (but not Overture or Sibelius). There is also the same problem with Sonar and Logic, but not with Digital Performer, Cubase, Nuendo nor other sequencers. The possible cause is the way certain programs handle MIDI data (i.e. Note On Values of "0" sent when releasing a note, instead of the expected Note Off message). This will cause notes to sound until you engage a reset or, in some cases, quit the program. This is not specific to GPO as it has been reported on various forums with various programs.

WORKAROUND: Reset after you stop
In Sonar, press the reset button. In Finale, in MIDI menu there's all notes off option in the MIDI menu.

WORKAROUND: Just add very short note to the end of the note that would've otherwise been sustained.

WORKAROUND: MIDIFixer for PC Users
MIDIFixer is a PC utility that can turn off stuck notes. A single stuck note can completely ruin the sound of an otherwise good MIDI file. Using brute force, MIDIFixer can insert extra commands into your MIDI file that instruct all notes to be released before they are used again. This is all done automatically with a single click. This utility may prove useful for Logic PC and Finale users.

(from garritan.com)