Will withdrawing from a graduate program, affect my future admissions applications?
Your transcript will very likely have a notation that shows you withdrew from the program; to claim that you are still enrolled when you are not would be dishonest (if either you or the university said so!).

And yes, this will be something that you will need to explain to schools to which you apply in the future. Just saying "it's not good enough for me" is a bad reason to withdraw from the program, because it suggests a "diva-like" attitude that is not particularly desirable (in just about any circumstances). If you're responsible for paying your tuition, and found you could no longer afford it, that would be a more tolerable reason.

But you will need to explain this, and it can definitely have an impact on the decision of future admissions committees.