Check the event log, specifically System and Application events. click here
If there are no clues there (and it's not always easy to pinpoint issues from the log) close all your running programs before choosing shutdown - not system tray things, just the actual desktop applications. If there's no change start shutting down system-tray applications aswell next time you shut down, one at a time until you find the culprit.
Try disconnecting any USB hardware too (mouse/keyboard can be safely left plugged in).
Check your drivers are fully up to date, especially audio drivers.