NT Shutdown Problem with explorer.exe

I’m running Windows NT 4.0 as a Member Server (i.e. not a PDC or BDC) with service pack 6a on a NT network that is controlled by a separate system.

Whenever I shutdown my Member Server, a window displays that explorer.exe can’t shutdown and I have to click on End Task, Wait, or Cancel. After clicking End Task, it shuts down fine.

What could be causing this? I know that I should probably start eliminating applications and/or services before shutting down but that’s a long process.