I've learned more about the problem. Seems that this is known to Microsoft -- there is an article in the knowledge base that address it (886844). However, the workaround doesn't make sense to me. Here's the article:
SYMPTOMS
You cannot shut down or restart Microsoft Windows XP Media Center Edition 2005 from inside the program when multiple users are logged on to the Media Center computer. This behavior occurs only when Media Center is running in full-screen mode.
CAUSE
This behavior occurs because you cannot see a warning message that you are prompted with in this scenario. This warning message is hidden behind the Media Center window when Media Center is running in full-screen mode.
If you have Fast User Switching enabled in Windows XP, and multiple users are logged on, you are prompted with the following warning message when you try to either shut down or restart the computer:
Other people are logged on to this computer. Shutting down Windows might cause then to lose data.
Do you want to continue shutting down?
Windows will not restart or shut down until you click Yes in response to this warning message. However, because this message is hidden, you do not respond.
WORKAROUND
To work around this behavior, quit Media Center, and then make sure that all users have saved their data and logged off before you shut down or restart the computer.
First: I'm always in full-screen mode. If I close from my desktop with no programs running, how to I change to any other mode?
Second: How do I "quit Media Center" if I'm not running any apps at the time? Is there something that's loading at boot-up that I need to shut down?
Finally: Is there another way to automate shutting out all other users so I can simply shut down my system?
Thanks!!!!