I had this problem consistently occur with my PC and this operating system. As I remember it appeared to occur after I installed a new modem (or some other hardware). I found that even though I had to turn the PC off at the switch it did not appear to be causeing any other issue eg corrupting the harddrive (which would be evidenced by a scandisk occurring at next boot up).
If in your case it is causing no problems other than being annoying I wouldn't worry about it. Did you always have this problem or did it coincide with the installation of some hardware and\or software.
You could spend a lot of time trying to solve the issue and still not fix it. It is nice to have your PC working perfectly but sometimes you just have to live with these things. There may just not be a fix.
Keep in mind that Microsoft no longer supports this operating system, and hence a lot of application and hardware providers won't be bothering with this OS either so you wouldn't now what affect installing new applications will have on this old OS.
Another solution is to upgrade :)
There is full information on Win98SE shutdown problems at http://support.Microsoft.com/kb/q238096/ It cured my problems
You may solve this problem by accessing in Control Panel > PM
Adjust the settings
Or go to your Boards Bios > APM or Power settings
Yes, someone already answered the question, if you go to Microsoft you can download a patch, the reason this happens is because the sound card which controls the shutdown, becomes corrupt or damaged, 4756us8 is the file, or Q239887 is the actual file, but after the download it is 4756us8 on the desktop, even with this file, the shutdown can become corrupt, and may have to be installed several times during the year depending on your software environment.
go to control pannel System Devices open system remove Advanced power management or APM Witchever restart it will reinstall it "usually fixes the problem the VXD can get corrupt from power loss if someone just unpluged your computer ETC it will do that"Bonkerz T Bobcat Rebuild & Programed Computers for 5 years now Still not the GURU yet!!!!!!!!!!!!!!!
there are many FREE softwares availiable on the net to do this job.if other things whiich you might try doesnt fix your problem then you should download one of these softwares.an example of softwares like this is REBOOTER which forcefully shuts down the computer.i used this software and it totally solved my proclem.