If your system uses Advanced Power Management, this problem is usually
caused by APM systems on which XP is installed because APM (Advanced Power
Management) is not enabled by default in XP.
Right click a blank space on your desktop, select properties, go to the
Screen Saver tab and click the Power button under Monitor power. Go to the
APM tab and select "Enable Advanced Power Management support."
If you see no such tab, go to Start and right click My Computer, select
Properties, go to the Hardware tab and click the Device Manager button under
Device Manager.
In device manager, select the View menu, and turn on show hidden devices.
In the device manager window, you will now see an entry for NT Apm/Legacy
Support (If you see no such entry, skip to the bottom of this message and
try the suggested link), expand it, and bring up the properties for the
node.
In the device usage drop down list, select Use this device (enable)
Hit the OK button and then close the device manger.
You may need to reboot, but now it should shut your computer completely off
on shutdown.
If none of the above applies, or helps, try the following site:
http://www.aumha.org/a/shtdwnxp.htm