ah xp sp3 has a few shutdown issues with 3rd party software..

Do you have Iolo brand firewall?

Quick test to see if it's a driver/software issue; power up the sytem from a full power off state; boot into safe mode, "this disables all the extra startup files" once safemode has booted go to the start menu and select "shut down" see if it will do it... If it does; could be that one of your applications or drivers are hanging up the shutdown process..

There's a procedure to test which startup item is causing the hangup. If it's a startup item issue "found out by successful shutdown from safemode; can you get a screenshot of MSconfig "startup" entries "from normal boot mode" and post a .jpg of the screeny? Then I could suggest which startup entries to temporarily disable.. The procedure is to open MSCONFIG and disable/apply one change at a time; noting which startup entry was disabled; then restarting, and testing start/shutdown/restart, to see if it resolves the shutdown issue.