I'm a little rusty on this, but I think this is what you are looking for
You need to search for a file called conagent.exe. When you find this file, bring up the properties on it. Somewhere in the properties setting, there is something mentioning "warn if still active." This needs to be unchecked. Reboot the machine and the warning when you shut down win98 should go away.
Sorry if I don't have this exactly right but I am doing it from memory and don't have a Win98 machine here at home to verify against.
Good luck!