Try unchecking "Automatically Restart" in the system menu under the startup and recovery tab. I have a hunch that Windows is crashing during shutdown, and it's automatically rebooting instead giving you the blue screen of death.
If it DOES give you a BSOD, try updating your BIOS and power managment drivers. They're available at the IBM PC support site, in the device driver matrix. Also, make sure to set the Windows XP laptop shutdown patch (I think that it's part of SP1 now), and update any networking software that you have. Older versions of Firewall software and VPN clients (like the AT&T Net Client) are known to have problems with Windows XP.