you allow the system to update itself from that Shut Down screen?
If you go to Windows Update, (Start > All Programs > Windows Update near the top), and let Microsoft perform its checks, are any updates listed as available?
How is your system set to process Windows Updates in the Control Panel? There are different options, eg automatically download and install, download but choose when to install, etc.
Have you updated to SP3 yet?
Have there been numerous updates in last 2 weeks? Lately when i turn off the pc i see usually one update. This will happen even within a half hour or so. Do i have some malware causing this? Are there some spyware bugaboos that mask themselves as microsoft updates?