[Rawe]

Are you experiencing slow shutdowns; if so follow the steps below:

Start -> Run.
Type: eventvwr.msc.
Press <enter>.
After the "Event Viewer" is open.
Go through the Application, System and Security Logs.
In the right-pane of the window, you will have various events.
Check if you have events with event-no. 1517 or 1524 with source as Userenv at the same time as you shutdown. (for Windows 2000 check for event-no. 1000, instead)
If and only if such events are present; Download: User Profile Hive Cleanup.
User Profile Hive Cleanup is Microsoft service(can be seen in services.msc) and will try to speed-up shutdowns by freeing up dangling registry keys.

If the aforementioned events are not present in you Event Viewer logs; post a new thread in the Windows XP Forums.