It says I have to close chrome when downloading but I already have.

You probably have Hangouts running.  Any Chrome applications that run in the background are running in their own Chrome instances.  You'll need to exit those, too.

You can also just look in Task Manager (Force Quit on Mac) for any Chrome instances and kill them off.

Normally when the user is prompted to close the browser, they are attempting to install a version of Flash Player that already exists on the system and is in use.  In this case, the browser (or app identifying itself as a browser) needs to be closed for the loaded Flash Player plugin to be unloaded and uninstalled.  To view processes running as Chrome, open the Task Manager (Windows) or Activity Monitor (Mac), look for the Chrome process and then terminate it.

Google does embed Flash Player in Chrome and there is no need to install it separately, however, they block it by default forcing users to enable it, on a per session basis (when the browser is closed, Chrome deletes the user's preference).  For assistance see Use or fix Flash audio & video - Computer - Google Chrome Help