When did you install XP?
Has it always done this?
Most likely, the version of your BIOS needs to be upgraded.
First of all, your BIOS needs to be of the ACPI (Advanced Configuration and Power Interface) standard. Even if you do have an ACPI-BIOS (most newer BIOS versions do), then the ACPI-BIOS version that you have may not meet Windows XP standards. If this is the case then things like the OS not shutting off the PC fully is a common problem.
The ONLY resolution is to flash your BIOS with the latest version. Even when you do this, Windows XP still will do the same thing because you need to Flash the BIOS before you install XP. Currently, there is no way around this. If you are that set on getting it fixed then you have to re-format, apply the BIOS flash and then reinstall XP.
-Michael