Chances are that something is running in the background and Windows is waiting for the application to stop. If the application does not stop after Windows gives the shut down command, normally you get a Program Not Responding window and just click "End Now".
If you are not getting this, then it may be the running program causing windows to wait too long for shutdown and therefore stopping the shutdown command. (This can happen if a program needs to save alot of information and cannot close because of it) Can you give us a list of applications that are running at the time of shutdown and how much RAM they are using?
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