There is something in Windows Update for Win XP Professional, that has to do with *Restarting Windows XP* that might address your problem. Not sure though. I don't know if it is an update for XP Home also or not (I have XP Pro that's why I remember this). I don't know what version of XP you have (XP Pro/XP Home).
Also if you have a Sound Blaster Live Audio Card there were shutdown issues.
If you do have this Card, did you install the Drivers that came with the Card?
Or did you let XP install it's own native Drivers?
I think the newer SB Live Drivers fix that (or not).