Forogot to check, but when you shut down, what happens on your monito, does it say windows is shutting down, than before the process finishes, the monitor goes out, or does the monitor immediatley go off, and it doesnt show any process? By they way, your sure your clicking shut down right, cause I know there is hibernate and standby which you could click by accident, but I doubt thats the case.
I would try running a systems tool in safe mode, like disk defragmentar.