Are you getting a screen that says; it is now ok to shut off your pc?
If so, it is probably your power settings.
support.microsoft.com...
To resolve this issue, follow these steps:
1. Click Start, and then click Control Panel.
2. In Control Panel, click Performance and Maintenance, and then click Power Options.
3. Click the APM tab.
4. Check to select the Enable Advanced Power Management Support check box, and then click OK.

Or see
power down issues listed here.
When Windows XP won’t powerdown automatically, the APM/NT Legacy Power Node may not be enabled. To enable this,
right-click on the My Computer
icon, click Properties | Hardware | Device Manager | View. Check the box labeled “Show Hidden Devices.” If it’s available on your computer,
there will be a red X on the APM/NT Legacy Node. Try enabling it and see if this resolves the powerdown problem.
Or, to check the other side of the APM/ACPI coin, open the Power Options applet in Control Panel. If there is an APM tab, make sure the “Enable
Advanced Power Management Support” box is checked.
This should resolve the powerdown issue in most cases. However, other factors can sometimes interfere with correct powerdown functioning. In that
case, consider the following tips:

Best of Luck
[edit on 1/2/06 by makeitso]