Application.EnableVisualStyles();
Application.SetCompatibleTextRenderingDefault(false);

Form[] forms = new Form[3];

for(int i = 0; i < forms.Length; ++i)
{
　forms[i] = new Form();
　forms[i].Closed += (sender, e)=>{ if(forms.All(form => form.Visible == false)){ Application.Exit(); } };
　forms[i].Show();
}

Application.Run();


こんな感じかな