I have had this problem over the years.
It seems that when I install new software or update windows through the microsofts site, something happens to the Windows XP configuration so when I try to shut down the computer with an Explorer window open, Windows will not shut down unless I manually close the Explorer window. It will shut down other applications but not Explorer.
Is there a fix for this?
I have tried to reload Windows to resolve this but Windows Explorer always seems to fail either by installing a program or after installing updates.