Have you installed service pack 3? this has been know to cause problems on 2K. "Saving settings" is part of the log off process, (your computer
automatically logs off before it shuts down), if it takes a long time to log off, check
in your add/remove programs list to see if you have Hotfix Q329170 or
Q328310, if you do, remove BOTH of them.
Have you set any policies?