If your users can shutdown the Terminal Server, they are members of
the Administrator group.
If that's the case, there is no way to prevent them from shutting
down the server (and they will be able to do far more serious damage
than merely shutting it down!).
You can remove the Shutdown option from the Start Menu with a Group
Policy, but this is only a cosmetic change. Normal users will *not*
be able to actually shutdown the server, even if they see the option,
and Administrators *will* be able to shutdown the server, even if
they don't see the option.
