when did this problem first start?? Was it after installing sp2?? if not how long has it been going on and can you think of any program you may have installed just prior to it happening - if it started happening just recently for no apparent reason try doing a restore point.
First thing you need to do is check for bios upgrades and motherboard driver upgrades and reinstall - the power off is operated by the bios and/or the operating system so your bios and motherboard drivers play an important part.
Also see this link for shut down issues - hopefully one of them decribes your issue.
I have a problem in shutting my computer down. I am running Windows XP with Service Pack 2. When I go to Start, Turn Off Computer and select Turn Off, the computer always restarts again. This means that I have had to resort to using the shutdown button on the computer, which of course always throws up a serious error message when I turn the computer on again. Is there any way of resetting the Turn Off button? Any help appreciated - Caroline