Check here for a set of steps that can be the cause of this problem:
http://aumha.org/win4/a/shutdown.htm
If you install the Shutdown Supplement from MS and it works, then you are fine, but I find that many people running Win98SE have too many programs running as TSRs. Therefore:
Click on Start --> Run --> msconfig.
Click on the Selective Startup box and then click on the last tab (Startup).
UNcheck everything from there, except Explore and Systray (those two programs are the only ones that Windows needs resident in memory).
Shutdown and reboot, then do whatever you need to.
Essentially from that point on, you should not have this problem. If programs do not work, you can go back to the Startup tab in this area and re-check them one-by-one and test after each check.
If with only systray and explore checked, you still have this problem, and you have run the shutdown supplement, then I recommend that you reformat your hdd and start over with the same OS. Your registry probably has too much remanents of programs in it, and your machine is not operating with it's available resources properly. A fresh install tend to be needed with Win98SE from time-to-time.
Someone else suggested upgrading to WinXP. That's an option if you do not have any legacy devices you need to use (like for instance, a parallel port scanner)... frankly, WinXP is a better OS.