‘Please wait while system shuts down’

This is an old issue that I’ve never been able to solve:

In several Win95 PCs I receive the typical message ‘Please wait while system shuts down’, but the system never turns off by itself.

I’m sure the system isn’t hanged up because the CapsLock and NumLock LEDs keys work properly.

If I turn the PC power switch off and then turn it on again, then it detects the system wasn’t turnoed off properly, and then enters in the Scandisk mode.

How THE HELL can I fix this?