Error when closing an opened workbook in VBA Userform

Yes, in Excel 2011, it is a bug (Undocumented - I haven't found a documentation for it yet). You have to slightly modify the code. Try this

Private Sub CommandButton1_Click()
    Dim filename As String
    Dim opened_workbook As Workbook

    filename = Application.GetOpenFilename()    ' User selects valid Excel file
    Set opened_workbook = Application.Workbooks.Open(filename)

    Unload Me

    opened_workbook.Close    

    MsgBox "If you got here, it worked!"
End Sub