I trust you run Adaware regularly, and know how to use "HiJack This"? There could be a *theoretical* issue there as previously suggested.
My LapTop used to take minutes to shut down when I had my old wired modem (I used to terminate all conns prior to shutting). Now I'm on wireless it shuts down in seconds, although sometimes it goes back to its old tricks... I really have no idea what my issue is, maybe Conan has the right idea - never trust anything M$oft.