What applications have you running in the background? Have you tried turning them off/ exiting them prior to closing windows down? Are you seeing any meesages in the event viewer about applications not shutting down properly?
Sometimes it can be caused by XP having to wait for applications to release memory etc before it can close down properly.
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You could do a lot worse than read through this to be honest
http://aumha.org/win4/a/shutdown.htm
it takes time to troubleshoot problems like this sometimes but it is worth the effort.