Windows 95

You probably have a BIOS imcompatibility regarding PowerManagement but it could also be several other things. Here is a URL for this specific problem:
http://support.microsoft.com/support/kb/articles/Q145/9/26.ASP

MS still supports Win95. Here is the URL:
http://www.microsoft.com/windows95/

As usual - make sure that there are no whitespaces in the URL when you copy/paste them.

SF

A complete guide to shutdown problems:

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

If you're running a virus scanner, make sure it does not scan for viruses during shutdown. This is applicable for all I know at least to mcafee.

Also go for a scandisk and a defrag now and again just to be on the safe side of things.