I posted about this earlier today and received a helpful response from Gongoozler click here telling me that this is U.S. Robotics modem related. I do have a U.S. Robotics modem but I don't use it now as I have cable broadband.
I followed the advice from click here to delete USRSHUTA.EXE from C:\Windows\System32 and guess what - on rebooting the file is restored and the process is up and running. Clever ol Windows XP!
So, I went into device manager and removed the modem drivers. And guess what - on rebooting clever ol Windows (without any fuss, prompts or anything to tell me what it is doing) obviously detects "new hardware" and reinstalls the default Windows drivers. And, yes, the usrshuta process is running quite happily and unnecessarily!
I want to get rid of this because I am sure that it is slowing down my shutdown significantly.
Any ideas other than physically removing the modem - "I hate opening the case".