If you have Win2k Server installed, that is normal, when you see the "Safe to turn your comp off" screen just depress the on/off button and hold it in for 10 sec or so.
If you have Win2k Pro installed you need to enable "APM" Right Click on Desktop, Properties, Screen Saver, Power. You should see a "APM" tab click on it and enable it, it should then shutdown normaly.
Hope this helps!
Bigguy1