which programs are open at the time you selct the shut down procedure?
Make a list and try to shut down program by program, each at a step befor you run down windows.
check the task manager for any open programs which may have closed the graphical user interface but task manager still reports as NOT RESPONDING.
shut down ICQ before you shut down windows...hefty resource hungry programs like Outlook or shared file transfers (edonkey etc)...
was it always like that or did it start suddenly? what did you install / uninstall just before it began?
from clicking shut down to power off, it should be no more than about 5 -10 secs, unless huge files still open and perhaps saved as tmp need to be saved to the harddrive properly.