Here are some sites to troublshoot the various problems that can cause Windows XP to not shut down properly:
Links:
[1] http://www.kellys-korner-xp.com/win_xp_restart.htm
[2] http://support.microsoft.com/?kbid=308029
[3] http://www.microsoft.com/windowsxp/using/helpandsupport/learnmore/russel_02may13.mspx
[4] https://www.paypal.com/cgi-bin/webscr?cmd=_xclick&business=rick@yourpcpartner.com&item_name=Buy