Some program might be starting up when you switch your computer on, and this program could prevent your computer from shutting down properley....
If I was you, I would download Ad-Aware from here-
Run a scan, and see what it comes up with.
To see what startes up when you switch your computer on, click start/run and type in msconfig
Click on the startup tab and you can disable/enable any program by checking the box....Make sure you don't disable anything that you might need-If you are unsure then ask here.
Hope you fix the problem