I've found this. Don't know if it applies to this particular issue it may.

SHUTDOWN HANGS ON “SAVING YOUR SETTINGS”

During shutdown or reboot, Win XP may hang (stop responding) at the “saving your settings” screen. During such a hang, there is no response to Ctrl+Alt+Del; the mouse may or may not work. The problem may be intermittent.

This is a known bug in Windows XP, for which Microsoft has a supported fix. To learn how to get this patch, see MSKB 307274, “Windows XP Stops Responding (Hangs) During Windows Shutdown.” The necessary patch is included in Windows XP Service Pack 1, and also is now available on the Windows Update site under “Recommended Updates” for Win XP Professional, titled “Restarting Windows XP.” However, to find it, you may need to reconfigure how Windows Update appears for you, by enabling the Windows Update Catalog as follows: At the Windows Update page, click Personalize Windows Update at the left, and then Enable the Windows Update Catalog. Save your settings. This adds the Windows Update Catalog link in the left box. Click this link, then click Find updates for Microsoft Windows systems. Pick Windows XP in the drop-down list, click Search, take Recommended Updates, and find the “Restarting Windows XP” patch which references Q307274.

As a workaround, newsgroup correspondent “lou” resolved this problem by dismantling the Windows XP logon Welcome screen. In the Control Panel, click User Accounts, then click “Change the way users log on or off.” Uncheck the box that says “Use the Welcome screen.” This removes the initial logon screen with individual icons for each user and, instead, pops up the classic logon prompt that requires each user to type a user name and password.

It should be noted that this problem is in depth and has various fixes on the internet, please do some searching.

Thanks a lot