I think the vnc server should still be running. Just typing "exit" doesn't close it (in fact I think the only way to shut it down is vncserver -kill :X, where X is the screen number it is running on). Can you ssh into the linux box and see if vnc is still running?
One other assumption I'm making: From your post, it sounds as if you are running VNC across the internet. If that is the case, you need to be aware that VNC has absolutely no security whatsoever and your linux box is at extreme risk. Please investigate using VNC over an SSH tunnel. There is loads of advice on how to do that here.