If you're using Windows XP, which you unfortunately didn't tell us, disable Error Reporting like this:

Right Click My Computer, select "Properties", then the "Advanced" tab, then the "Error Reporting" button, then select "Disable Error Reporting".

Personally, I've never seen a reason to keep it running. The error generally means there is a problem program which is activating "Error Reporting" during shutdown...but since Windows is shutting down, "Error Reporting" can't activate.

Hope this helps.