If you search the MS Knowledge Database you will find at least 3 of the fixes they came up with, that may (and probably not) work.
I have resolved the issue on a couple PCs by unconventional "fixes" and I was also to never resolve the issue on a 3rd. I have even seen one computer get "fixed" and then have the issue return!! (There is no sense in me relating to you what I did, it is nothing that seems logical - but it worked for me, and I could not duplicate the success on other computers.)
Here is a 'work-around' that will always get you to the point where you can safely shut off the power:
Instead of taking the "Shut-off Power" selection, just take the "Restart" selection.
Then, when your computer gets to the BIOS POST (Power On Self Tests), where some BIOS messages are flashing on the screen, just shut off the PC power. Shutting off the power at that point sounds risky, but it isn't. There is no disk activity happening at that time.
When I try to shut Win 98SE down, the screen tells me Windows is shutting down - but it doesn't and I have to turn the power off. Is there a fix for this, please?
TIA
David

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic