Could I get some more information?

What operating system are you using?

If it is windows, there could be a couple of problems:

you have an IIS service running that is having trouble closing, or,
you have a malformed automatic update and it is caught between downloading it and trying to install it.

To try and fix the bad Automatic Update, try a manual update. Go to the microsoft update website, and check for any updates for your machine. In most cases, that should do it.

If you have IIS running in some capacity, you can find it by looking in services.msc. Go to Start->Run, and type 'services.msc' without the quote marks. Look for an entry called 'Internet Information Services' or one that has a description that says it uses the internet. Do some testing with it, first by setting these services to 'manual' instead of 'automatic.' if they are already at 'disabled' they should not be your problem. setting a service to 'manual' tells windows to ask you if it can start a service that it needs to do something.

are you using DHCP or a static IP?

What OS?

what type of OS your using, it might be some program or drivers that cause the problem.. when your at windows try to check Task Manager and delete some processes that are running that you suspect might cause the problem.. then try to shutdown check if you will be able to shutdown normally..