freeze - How can a frozen/locked-up program/app be closed?

I am using Ubuntu 12.04.1 LTS Desktop.

My son and I are playing games on GCompris and several modules freeze/lockup.

When it does, I don't know how to close the program.

I know in Windows I could use ctrl-alt-del to get to the task manager to shut it down.

Is there an equivalent to this in Ubuntu?