I had the same problem with my speedstream DSL modem(same model as yours). Whenever I tried to shutdown my computer, it would blue screen. I was running Win98 SE. It's not the operating system. The problem went away when I sent the modem back and got an internal DSL modem from my ISP.
If you go to DSLreports.com, you'll see that lots of people are having problems with that modem. Basically, it's a POS and a resource hog. Try to return it and get and internal modem, if you can.
Shedness