I've seem (touch wood) to have got mine sorted. I'm running XP Prop (SP2) on a Sony Laptop. I contacted Sony and they came back to me with the following:-
We would advise you to disable your start up icons in msconfig.
Before doing this make sure you disconnect from the Internet as your antivirus software would be stopped for this period
To do this go to
Start - Run - Msconfig
http://www.vaio-link.com/uk/kb/2000_0/2454.html
Select disable all Apply - Close - Restart
On reboot - Put a tick in the message where it states do not show this message again.
This should stop the error message appearing on shut down
Does this solve the issue? If so, it may indicate that one of th programs on the startup menu is hanging, freezing, or corrupting the system.
Also, this type of behaviour you experience could be caused by spyware which has installed itself on your VAIO while you were connected to the internet. If you cannot make the problems disappear by deleting your cookie content, you will need to go for a more thorough solution. There are programs available for download on the internet which are able to look for spyware on your computer and consequently remove it. You will easily find them by typing in the correct keywords in any search engine. Please understand that we cannot advise you to use any specific third party program.
The above might only be for Sony VAIO I don't know sorry. Also copy this link into your web browser
http://www.vaio-link.com/uk/kb/2000_0/2454.html this might help.
One other thing I did do was loaded my XP disc in again and went to upgrade software. I was doing about 3 things at once as I was getting very p**sed off with it all. I did find that Norton AntiVirus was also causing me problems so I unistalled it and installed Sophos instead.
Sorry can't pin point it to one thing but hopefully one of the above help u..