In Windows XP, under My Computer, Properties, Advanced, Startup and
Shutdown, you probably have Reboot on Error enabled. During your shutdown,
you probably have an error happening. This can happen if, for example, on a
computer with a PCI video card, some of the AGP dirvers get loaded. The
error is generated at the shutdown of the machine, and then, if Reboot on
Error is enabled, the machine appears to simply reboot. If you deselect
this option, you will then get the Blue Screen of Death, which will show you
what is generating the reboot, and you can then deal with the problem.