Don't know about the "95" message. Sounds like an upgrade didn't go acording to plan. This is probably not connected with the failure to shut down.
I would personally see if I could find "logo.sys" in C: \ or C: \Windows and rename to something like "logo.old" and see if this peculiarity disappeared.
Have you tried: Start>Run>type in "msconfig" and press Rtn
On the next screen, under the "General" tab click on Advanced
Check or uncheck the "disable fast shutdown" function.
Save as you leave and see what happens.
My 98SE test machine actually has this Checked; but it still shuts down normally.
There's another peculiarity regarding loading EMM386 in the Config.sys file that I won't bore you with at the moment.
Ausatco is correct in his following post. If you have an ordinary ON/OFF switch, there is no way that your 'puter can turn it off. That's down to you!