So you are sure you are in Closed mode, right?

• 1.) The first thing to do, when still in Closed Mode, is to remove the "big scary warning" (the operation has to be done before entering Open Mode, as otherwice you cannot do it any more as Open Mode locks your CAL partition).
  Also remember to save your certificates (located under /etc/ssl/certs/) as those will be erased when you change mode.
• 2.) the second thing to do is to flash an Open Mode kernel, preferably one that has Aegis functionality stubbed out for root. (for example my L2-fixed kernel, or the e-yes Nitdroid kernel, or whatever...)
• 3.) After you boot with that, you need to clear out your aegis directories under your home dir (otherwice your device will keep nagging about your passwords every time after you boot it)
• 4.) You might also want to add other fixes, for example my libapplauncherd.so fix which prevents your device to close open applications when you install new apps.

I might have forgotten something but that's about the most of it. Even after all this, you might still experience some funny business with your device (as some people do...) due to the fact that there might be some state in your devices Aegis that's not gone through the Open Mode change fully. On the other hand many people do not see anything like that. Your mileage may vary