Problem shutting down.

You have not provided the version of Windows that you are using... but the below site has numerous suggestions for shutdown problems:

http://www.aumha.org/a/shutdown.htm

I'm going to guess Win2k, since that is the forum. When booting, hit F8 to select multipule boot options. Boot in safe mode with networking support. Once you have loaded up the server shut it down. Power up and I'd hope your problem is resolved.

A second option is to download the MSconfig utility (included in win 95, 98, ME but not 2k. Downloadable off the internet.) run the utility and feel free to ignore the errors. When you come to a window, hit the advanced button. Try to disable'Fast Shutdown' as well as tinker with the other relevent settings. Beware, if you are not fairly comfortable with some of those settings don't try to change them, and remember to switch any back - they can degrade performace. Best of luck to you!

Does this ONLY happen if you play CD games? What about 3D games that do not run off CD? Do you have Direct X 8.1 installed? How about SP2? Compatibility Update? All of these are available off of microsoft.com, download.com, or windowsupdate.microsoft.com