Hi cokecan72, are you running windows XP? If so it is setup by default to restart if it detects a software problem when you shutdown. If you go into control panel>system>advanced you will see a section called "startup and recovery".
If you click on the settings button, under "system failure" there is an option to automatically restart. If you clear this, the next time you try to shutdown, rather than restarting it will show an error message, hopefully from the message you can determine the cause of your problem.