It is usually because their is still a program running in the background
Try control alt delete
and see if it will let you know what processes is still running
also if you have installed any new devices, they or thier drivers can cause this.
Finally when booting up hit F5 and have it boot in the safe mode, when it completely boots in the safe mode see if it then will do a normal shutdown, if it does then it is a driver thats is causing the problem.
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