|How are you shutting Down? Are you pressing the power button or are you doing it through the Shut Down on the Start Menu?|
My suspicion is the Power Button. If so then go to your Control Panel then Select Power Management (XP) or Power Options (Vista/7). Then depending on your OS there will either be a Tab at the top or a menu item to the left; to allow you to change what the computer does when the power button is pressed. I am betting it is set to reboot instead of shut down.