To close open documents selectively:
1. Go to Window -> Windows.
2. This will show list of all open windows (not just those which you see on the tabs).
3. Select the windows you want to close. Use shift (or ctrl) key for multiple selection. You can also use ctrl+A to select all windows.
4. Click "Close window(s)" button to close selected windows.
I experienced that the speed of loading a project into visual studio is directly proportional to the number of open documents. Generally, we open the document as we need it. And then we don't close it. Visual studio 2005 displays only a few number of documents on the tabs. Rest remains open but are hidden. You can click on the down arrow near the 'X' button of the document window to select the open document. To keep you project loading fast, always keep minimum number of open documents.