Microsoft Knowledge Base Article 315409 contains the following summary:

This article describes general procedures that you can use to troubleshoot shutdown problems in Microsoft Windows 2000.

When Windows 2000 shuts down, messages are sent to the devices, system services, and programs that are installed on the computer to notify them that Windows is preparing to shut down. The operating system waits for responses from programs that are running to make sure that the programs save unsaved data to the hard disk and shut down properly. Each device, service, and program that is running usually responds to the shutdown message with a message that states the program can be closed.

You may experience one or more of the following symptoms when you try to shut down the computer:

The computer stops responding (hangs). When this symptom occurs, a teal or black screen may be displayed.
The computer does not turn off when you receive the "It is now safe to turn off your computer" message.
An error message is displayed on the screen.

Typical causes of shutdown problems include the following problems:

Faulty or incompatible device drivers.
System services that either do not respond correctly or send busy request messages to the system.
Faulty or incompatible programs.