Yep, this is a known one. From the links below to MS :-
Fast Shutdown Registry Key Is Enabled
WARNING: Using Registry Editor incorrectly can cause serious problems that may require you to reinstall your operating system. Microsoft cannot guarantee that problems resulting from the incorrect use of Registry Editor can be solved. Use Registry Editor at your own risk.
For information about how to edit the registry, view the "Changing Keys and Values" Help topic in Registry Editor (Regedit.exe) or the "Add and Delete Information in the Registry" and "Edit Registry Data" Help topics in Regedt32.exe. Note that you should back up the registry before you edit it.
The Microsoft System Configuration utility includes an option to disable Fast Shutdown. If this option is not set in Windows 98 Second Edition, your computer may reboot instead of shutting down. To resolve this issue, change the FastReboot data value from 1 to 0 in the following registry key:
More good reading
Windows shutdown problems