Windows

Group Policy. There is a Group Policy user Windows configuration that allows you to remove and block access to the shutdown command from the start menu.

I agree with answer 1, but would like to add a further tip. With group policy you can keep the shutdown button from being displayed. If someone opens a command prompt, he can still shutdown the server by simply tiping "shutdown". So, if your users don't have any reason to use the command prompt, you can also prevent them from using it via group policy.

It sounds like you gave all of your TS users local admin rights on the server. Definitely do not do that. 2003 does not by default let regular users shut it down.

I can't find a Group Policy item that would do remove the Shut Down from the start menu. The srtart menu doesn't even have a disconnect. The only disconnect is in the shut down drop down menu.

The policy for allowing shutdown is in:
Security Settings\Local policies\User Rights Assignment\Shut Down the System

Make sure that only admins are listed here.

Please note that this is the local policy on the Terminal Server and may not be listed in your group policy object in Active Directory User's and Computers.