Strange problem, and this is a complete guess, but could it be a shorted power switch?
To test for something like that, you could probably detach the power switch connector from the motherboard (the tiny lead coming from the switch) and then tell XP to shutdown. I wouldn't suggest trying this unless you know EXACTLY what you're doing though. I don't believe it will cause any problems, but I don't want to feel responsible for you shorting your board.
