To quit Halma and launch another application, choose “Launch...” from the “File” menu and select an application to launch.  If you are in the middle of a game and wish to save it to disk, do so before launching another application.

Halma is significantly smaller than most versions of the Finder, and you can make Halma your Finder if you wish.  Open Halma with Resedit or a similar tool and change the type to FNDR and the creator to MACS.  Change the name of Halma to “Finder” (no quotes), put it in your system folder, and restart.