In addition to l24's advice, do you get any errors at shutdown time showing in the Event Viewer's Application Log?
Bring up event viewer by clicking on Start button, then Run, type eventvwr in the Run box and click OK, then single click on Application in the left hand pane and search in the right hand pane for errors at shutdown time. Double click on any error records to see more details. Look for errors saying "Windows saved user User_Name registry while an application or service was still using the registry during log off. The memory used by the user's registry has not been freed. The registry will be unloaded when it is no longer in use." Event ID numbers 1000, 1500, 1517, 1524.
Sometimes installing the MS User Profile Hive Cleanup service works, if getting these Event ID numbers and this kind of error Description. Explained here