I not sure if this will help but sometimes my son has the same problem. I've found that if he's been online and shuts down to quickly that problem occurs. I told him to slow down a little give the computer a chance. After he's offline I have him right click on the little monitors in the lower right hand corner and hit disconnect. When he does this we hardly have any problems. hope this might help.
I have Windows ME. Many times when I click on "shut down" my screen goes off but my cpu continues to run and won't stop. So I have to turn it off manually which results in a long scanning process the next time I turn it on. Would appreciate any suggestions. Thanks.