Try this:
Run Regedit and navigate yourself to go to this key:
For WIN9x:
HK_Current_User/Software/Microsoft/Windows/CurrentVersion
For NT/W2K:
HK_Current_User/Software/Microsoft/Windows NT/CurrentVersion
Under the CurrentVersion key, create a sub-key and call it Shutdown
Under the Shutdown key, create a DWord value and call it LogoffSetting and assign a decimal value of 3
Still under the Shutdown key, create another DWord and call it ShutdownSetting and aslo assign a decimal value of 3
Close the Reg Editor
Caution: Be careful Reg Editor as it can totally screw up your system!!!
Restart your PC and then Shutdown for the changes to take effect.
Good Luck