Cezar,

A good place to start is with the System Configuration Utility (Click on Start-Run, type "msconfig" (without the quotes) click on OK, then click on the "Start Up" tab). Uncheck as many unnecessary start up programs as you can so that various conflicting programs don't load at start up, and therefore don't need to shut down later on. If you aren't sure which programs to disable, here is a link that should help:

Pacs Portal Start Up List
http://www.sysinfo.org/startuplist.php

And another option, IF you're using Windows 98 Second Edition, is to install the Shutdown Supplement at the link below:

http://www.microsoft.com/windows98/downloads/contents/WURecommended/S_WUFeatured/Win98SE/Default.asp

In addition, you might consider closing your antivirus or firewall before attempting to shut down the machine. Those two programs can frequently cause this type of issue and closing them first, can allow the computer to shut down properly.

Hope this helps.

Grif