Right-click on My Computer and select Properties. Check Device Manager. Are
there any yellow triangles with exclamation points visible for any device?

AUX is a "logical device" (a program function) that is usually mapped to a
hardware port. I'd start by screening for hardware failures.

Failing that, check next to see if you have this problem at shutdown if you
first boot into Safe Mode. If you always have it when you shut down in
Normal Mode, but never when you shut down in Safe Mode, then it is the
result of something running - probably at startup. To identify what it could
be, see this list of locations from which items can be launched at startup:
http://aumha.org/a/loads.htm

If none of the above - write back and we'll try something else.