What upgrade didn't you do?

Has this always happened if not what changes have you recently made to your
system?  Have you recently changed your sound card or perhaps installed new
video drivers?  For example an SBLive can cause blue screens especially if DOS
compatibility mode is enabled.

Tracking down shutdown and power-off problems (they differ) can be somewhat
difficult but may I suggest that you start by having a look at MS KB 273746 -
"How to Troubleshoot Windows Me Shutdown Problems"
(http://support.microsoft.com?kbid=273746) and then move on to Jim Eshelman's
pages at http://aumha.org/win4/a/shutdown.htm and
http://aumha.org/win4/a/shtdwnme.htm which cover this topic.  Hopefully you
will find advice there that will help your resolve your problem.

If you can't find the cause of the problem you could always use System Restore
to roll your system back to before this problem began, provided that is, that
it was not more than a few days ago at most.
--
Mike Maltby
mcmaltby@hotmail.com