Firstly I open "Object Spy" window, after that I open one of the testcomplete's warning windows, if warning window stays Object Spy window, I have no choice but to close the TestComplete from task ma...
I'm not quite sure what you mean when you say you open "one of TestComplete's warning windows" but here are some thoughts and workarounds:
1) In the tools-options menu, there are checkboxes that you can use to deal with overlapping or unexpected pop up windows.
2) If this isn't what you are talking about, then I'm thinking maybe you can use the ctrl-shift-a option in the object spy to direct the object spy to close the desired window first (since I'm guessing you are trying to call object method or something using the object spy to close the initial warning window)
3) Also you could also you the Eval() method and check if the desired system processes are active, and then call some method on the desired object as well. i.e. Evaluate('Sys.Desktop.ActiveWindow')