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I found the culprit. I wrote b"\x" in IDLE and the window immediatly disappeared. Then, to traceback the problem, I started a python shell and typed the following lines. It seems that in showsyntaxerror, value is different that what was expected. 
C:\>python
Python 3.2.1 (default, Jul 10 2011, 21:51:15) [MSC v.1500 32 bit (Intel)] on win32
Type "help", "copyright", "credits" or "license" for more information.
>>> import idlelib.PyShell
>>> idlelib.PyShell.main()
Exception in Tkinter callback
Traceback (most recent call last):
 File "C:\Python32\lib\code.py", line 63, in runsource
 code = self.compile(source, filename, symbol)
 File "C:\Python32\lib\codeop.py", line 168, in __call__
 return _maybe_compile(self.compiler, source, filename, symbol)
 File "C:\Python32\lib\codeop.py", line 82, in _maybe_compile
 code = compiler(source, filename, symbol)
 File "C:\Python32\lib\codeop.py", line 133, in __call__
 codeob = compile(source, filename, symbol, self.flags, 1)
ValueError: invalid \x escape
During handling of the above exception, another exception occurred:
Traceback (most recent call last):
 File "C:\Python32\lib\tkinter\__init__.py", line 1399, in __call__
 return self.func(*args)
 File "C:\Python32\lib\idlelib\MultiCall.py", line 166, in handler
 r = l[i](event)
 File "C:\Python32\lib\idlelib\PyShell.py", line 1126, in enter_callback
 self.runit()
 File "C:\Python32\lib\idlelib\PyShell.py", line 1167, in runit
 more = self.interp.runsource(line)
 File "C:\Python32\lib\idlelib\PyShell.py", line 617, in runsource
 return InteractiveInterpreter.runsource(self, source, filename)
 File "C:\Python32\lib\code.py", line 66, in runsource
 self.showsyntaxerror(filename)
 File "C:\Python32\lib\idlelib\PyShell.py", line 654, in showsyntaxerror
 msg = value.msg or "<no detail available>"
AttributeError: 'ValueError' object has no attribute 'msg'
>>>