1. why is this in the cooling&modding forum? lol
2. what do you mean when you say "i tell it to turn off". is this via the power button, or via the start menu?
3. when did this problem start, did you install/uninstall any programs right before it started?
This ususally happens when there is a system error. by default, windowsXP restarts the computer in the event of a system malfunction. it experiences the error during shut down, and automatically restarts the PC. to prevent the system from restarting itself after an error, go into your system properties control panel > advanced > startup&recovery > uncheck the "automatically restart" box.
roxio easy CD creator/adaptec easy CD/direct CD are known causes. if you have any of these try uninstalling them and see if that solves it.