There are a ton of reasons that Windows will fail to shut down or restart properly. The big problem is figuring out what the cause is in your version of Windows. The bigger problem is that sometimes it still won't shut down.

First update your version of Windows with the latest and greatest patches from Microsoft Windows Update.

Next try updating the various drivers for your PC. Sound, video, motherboard, mouse, keyboard, printers, etc. Update the drivers through the manufacturer, not Microsoft. In Windows 98, try Windows 98 Shutdown Trobleshooter. In Windows ME, try Windows 98 Shutdown Trobleshooter. Both of these pages will offer you the Windows ME Troubleshooter, after walking you through some system specific information. Thirdly, the Windows 98 Shutdown Supplement may be of use in many instances. The shutdown supplement will not fix Windows ME and may cause bigger problems. In Windows 2000 and XP, first try the UPHClean tool from Microsoft. This tool will allow your user profile to properly unload after using troublesome programs. Often, shutdown issues are caused by programs failing to unload properly. Second, (under XP) see if you fit any of these symptoms. If so, get Service Pack 2, backup your machine and install Service Pack 2.