[Bozos of Bones]

Before shutting down, press Ctrl+Alr+Del and see if something os not responding. Programs such as the new Kazaa tend to fail like that without even running them. If so, then uninstall/reinstall that program and try again. Happened again? Darn. Then you should see if any exe/com/bat programs are running in background, like silent virus scanners or Disk Intrusion detectors, or, more likely, modem helpers. Taskmon will probably say that with these on.
Tell me, what other programs do you have on? Virus guards, software proxys and such.