You did not state how old is your PC.
Some older motherboards may need a Bios update.
Or it could be a spyware/trojan/virus issue.
If you do a Google search you'll have lots of links to review:
Troubleshooting XP Shutdown Issues
I am in England. Can anyone help please? Ever since I up-graded with SP1,(before everything was OK)the computer does everything it should on shut-down, but the monitor stays on, SP2 made no difference, any idea?
I realise there is a time difference.

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic