Are you using XP???
Win 98 was quite well known for not shutting down and that could be for lots of reasons, but XP is usually better.
Try clicking Start>Control Panel>Performance and Maintenance>Power Options
Make sure 'Enable APM' is ticked (that's advanced power management....if it's become unticked for some reason, the PC might not shut down just like you described.)
If that doesn't work, type in 'MSCONFIG' (without the quotes

) into the START>RUN box, and start disabling the items on the start up tag.......there's a very good chance one of those will be screwing the shutdown up.
Be careful though........look at the name of the services and disable the ones that are less important first....don't worry, you can always go back and enable them again so you can't do any damage.
If you're running Norton, none of the above applies by the way, and it's your own fault....what have we been saying for years???
