These shutdown problems can be troublesome.

Microsoft has created a number of step-by-step troubleshooters to help
people diagnose and correct problems.  To use one of these, go to
    http://support.microsoft.com/support/tshoot/w95startup.asp
One of these troubleshooters focuses on start-up and shut-down
problems. I suggest that you start there.

Microsoft's KnowledgeBase includes document Q145926, titled "How to
troubleshoot Windows shutdown problems."

James Eshelman has an excellent website focusing on Windows shutdown
problems:
http://www.aumha.org/a/shutdown.htm

Search the Microsoft KnowledgeBase for any documents that mention your
specific computer (brand, model).

Try turning off power management in Control Panel.

If the above does not work, try rewriting the Registry. Go to the
Windows directory.
    attrib system.dat -r -s -h
    ren system.dat system.ddd
Reboot the computer.

Try shutting down when running Windows in Safe Mode. That is, start
Windows in Safe Mode and then shutdown.  If the shutdown proceeds
normally, the shutdown problems are being caused by something that
Safe Mode turns off.

Safe Mode does the following:
(a)  bypasses config.sys and autoexec.bat
(b)  prevents programs from starting automatically (from win.ini
    or the startup folder)
(c)  uses standard VGA video
(d)  prevents a network from being started
(e)  disables protected mode device drivers (those listed in
    Device Manager)
(f)  bypasses the [boot] and [386Enh] sections of system.ini

If Safe Mode makes the problem go away, you can try tests from the
list below to pin down the cause of the problem. For more elaborate
instructions, see document Q156126 in the KnowledgeBase, which
explains how to do troubleshooting in Safe Mode. With Windows 96, you
can use Startup Manager to help you with these experiments. Startup
Manager is a freeware program, similar to the Msconfig utility that
ships in Windows 98. It can make troubleshooting easier by removing
and restoring items from the Windows startup.

http://members.aye.net/cgi-bin/dfs_components.cgi?fw_startupmanager

1. Rename the Config.sys and Autoexec.bat to Config.sss and
Autoexec.bbb, or edit them so that the only things loading are
absolutely necessary for the computer to run.  The latter items might
be a SCSI driver for the harddrive, or disk management software for an
EIDE drive.  Deactivate EVERYTHING else by putting REM in front of
that line. Reboot the computer and test.

2. Rename the Win.ini and System.ini to Win.iii and System.iii. Then
make a copy of System.cb and name it System.ini.  Do not rename
System.cb itself. Edit the new System.ini as follows: Add
  device=*vmd
to the [386Enh] section, and add
  drivers=mmsystem.dll
  mouse.drv=mouse.drv
to the [boot] section. Restart Windows. You probably will have no
mouse so you'll have to use keystrokes to do the following. Go into
Device Manager and select the mouse (which will have a yellow
exclamation point). Click "Remove." Again, restart Windows. Windows
should find the mouse and install software for it. Test.

3. Remove EVERYTHING from the Start Menu/Startup folder by dragging
their icons onto the desktop. Also disable or uninstall all utilities
that are running TSR (such as Norton Navigator, SoftRam or Macafee
AV). Restart Windows and test.

4. Change the video driver to Microsoft's Standard Display Adapter
(VGA). Restart Windows and test.

5. Rename the current Windows folder (directory). Then install Win 95
to a new, empty folder. Test. If problem does not occur, it was caused
by something in the old installation. I recommend that you keep this
new installation and reinstall your Windows applications.  When you do
this, install Windows applications that were written for Win95 or
WinNT but do not install older applications that were written for
Windows 3.x.

I hope one of these does it!

Bill Starbuck (MVP)