There are quite a few things which can cause shutdown problems in Win98se. BTW, it is best with Win98se to reboot when changing users anyway. 98se has very poor "garbage collection" and is subject to memory leaks--it down't take much to "hose-it-up".
First, write down the exact error message, with exact syntax, spacing and Case. With that in hand, do a search of the Microsoft Knowledge Base. (You have to try multiple times to get an answer--and it doesn't always work. The answer is in there, but it can be a pain to ask it just right. . .)
Then, just to get it out of the way, do a scan for viruses and "spy-ware". There are a few helper-objects that don't get along with 98se.
Then you check the device manager for obvious problems.
Compaq-specific problem. . .one of several I'm afraid:
On Compaq computers with Alps Electric Universal Serial Bus (USB) Server, you may receive a "Fatal 0E" error message when you shut down the computer.
http://support.microsoft.com/default.aspx?scid=kb;en-us;200692
Fatal OE exemption with Matrox video adapter:
When you attempt to shut down or restart your computer, you may receive the following error message: A Fatal Exception 0E has occurred at 0028:C00082CD in VxD VMM(01) +000072CD
http://support.microsoft.com/default.aspx?scid=kb;en-us;253241
Multiple Dos devices in path causes OE exemption:
If the last two or more components in a path match MS-DOS device names, you may receive an error message on a blue screen similar to the following example: A fatal exception 0E has occurred at (address) in VXD (FSD) + (address). The current. . .
In short, usage of dos drivers. Check configuration files in the root of the drive.
http://support.microsoft.com/default.aspx?scid=kb;en-us;256015
