Disable the Shutdown Event Tracker
If the event tracker is of no use to you then you can disable it.
1. To do this, open the Group Policy Object Editor Console by going to Start > Run, type gpedit.msc and press OK.
2. Navigate to Computer Configuration > Administrative Templates > System and in the right hand panel, select the “Display Shutdown Event Tracker” setting.
3. Double Click this setting to open the Properties page.
4. You are now given the option to leave it in a default state of Not Configured, set it to Always Enabled, Enabled for Servers/Workstations (Windows XP Pro) or Disabled completely
When you enable the Group Policy for Server only, the Shutdown Event Tracker appears when you shut down a computer running Windows 2003, whereas for Workstation only, the Shutdown Event Tracker appears when a computer running Windows XP Professional is shut down.
After you make the change to the Group Policy, open the Command Prompt and run the gpupdate /force command to refresh the policy and have your settings be applied straight away. Alternatively you can just restart the machine.
When you next attempt to shutdown or restart the machine, the Shutdown event tracker will no longer be visible and the normal shutdown prompt will appear
Further information and source can be found here: