Close all before shutting down system

I have a notebook running Win XP Pro and MS Office XP Pro. I’m logged in as admin.

Everytime I try to shutdown my computer, I get the message to “close all microsoft applications before shutting down the system” eventhough I already exited everything. Via task manager, I can see (for example) that winword.exe or outlook.exe is still there and I have to end the process manually.

Is there a fix for this problem?