If you are among the huge group of people who experience shutdown problems in their Windows XP and sit for long minutes in front of their PC and wait for system to shut down and are looking for solution to the problem 'Windows XP does not shut down', then you are at right place to get definite solution to your problem.
It generally happens because Windows waits till all the services stop after they have been notified about system shut down (after user gives the shut down command.
Apart from this, Windows XP waits for timeout before killing the open applications.
The problem of can be solved by making changes in some of the settings.
You can modify some values in registry by using 'Registry Editor'.
Go to start and Run, type 'regedit' to initiate this or simply press 'Windows + R' buttons.
You can reduce waiting time to kill persistent services if your Windows XP does not shut down.

• Navigate to 'HKEY_LOCAL_MACHINE\System\CurrentControlSet\Control'.
  Double-click on button 'WaitToKillServiceTimeout' in right pane and change default value (20000) to 5000.
  When this time expires, user is notified by system that service is not stopping and user can force it to stop/ wait.
  
• Reducing wait time of applications and user processes to be killed by changing 'WaitToKillAppTimeout' setting also helps.
  Navigate to 'HKEY_CURRENT_USER\Control Panel\Desktop' and double-click on 'WaitToKillAppTimeout' and change default value (20000) to 5000.
  When this time expires, 'End Task' box comes on screen that allows user to end task.
  
• Double-click on 'HungAppTimeout' and change default value(5000) to 1000.
  It specifies time for which system waits to end user processes after user gives 'End Task' command.
  
• Go to 'HKEY_USERS\.
  DEFAULT\Control Panel\Desktop\ registry branch' and repeat above steps.
  
• You can even command system to automatically kill processes/ tasks/ applications when user gives shutdown command.
  Change registry key 'AutoEndTasks' value to 1 and Windows would automatically kill running applications without user input.
  Navigate to 'HKEY_CURRENT_USER\Control Panel\Desktop registry branch'.
  

If still `Windows XP does not shut downs, which is actually very frustrating especially at times when you are in hurry, then there are other things you must try.

• See if any program has been recently removed from your system.
  
• Try shut down/ restart in safe mode
• Look id there is some problem with device driver using 'Device Manager'
• Use 'System restore' to restore Windows XP till last good functionality
• Repair windows XP installation by upgrading
• Check CMOS/BIOS settings
• Check if hard disk/ file system are not damaged

I believe that your 'Windows XP does not shut downs' gets sorted after you try these tips.