When you shut down your PC then XP or whatever has to shut down at least 20 system programs. If one of these is incapable of shutting down there could be an infinite loop involved preventing it.
I've been doing what OTT suggests for ages on my PC with no apparent problems.....could never get an answer to the "problem" that worked so .....just button in until it shuts down.
I've often read in the columns of AB that a 'forced shutdown' should be avoided; but I have never found out what is the real alternative. I have had occasions when my comp refuses to shut-down and I have then pressed 'Ctrl + Alt + Del.( Three finger operation as one.)