Are you using Windows XP?
If your PC reboots instead of shutting down, the likelihood is it is a driver issue with a piece of hardware.
If your PC hangs (stops responding) at the 'Saving Your Settings' screen, this is a known bug with Windows XP, for which Microsoft has a supported fix.
To learn how to get this patch, see
here
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.