How To Close All Applications On iPhone 3GS?

Some people say to close all applications on iPhone 3GS, press 2 times the home button and the running applications will appear. But when I press 2 times the home button, it goes to the playlist (iPod) and the running applications don't appear. Can somebody please help me how to close all applications? Thanks:)

You press home button and keep on clicking it. Then what should happen is your icons should be on the bottom of the screen. Then you hold down the icon and click on the red button. If all of the icons are shaking for some odd reason. Dont press on that x button.

Open this link. You will find good solution: