I found this in a few different places around the 'net - hopefully it's helpful:

Win XP Won't Completely Shutdown

• Go to Control Panel, then go to Power Options.
• Click on the APM tab, then check the "Enable Advanced Power Management support."
• Shut down your PC.

It should now successfully complete the Shut Down process.

I dont see the APM
i went to control panel and hit performance & maitenence and then i brought up the tabs..
the tabs i see are
power shceme
advanced
hibernate
and UPS

Go to "Performance and Maintenance", click on "Power Options", then click on "Advanced"; the lower half of the dialog box asks two questions about how you want Windows XP to react to pressing the Power Button on the PC itself and how to react to pressing the "Sleep" or Standby Button. Each question has a drop down menu with selections that say "shut down", "hibernate", "stand by", "ask me what to do", and "do nothing". Choose what you want, then click "apply" or "OK". Now, Windows should do what you want it to do when you press either button. Enjoy!