Disable "shutdown" from Terminal Server

You can disable shutdown for user accounts if you apply a domain level GPO to them. You really don't want to do it locally on the server since the policy will apply to everyone who is on the box - console and terminal service, and that includes the local administrator.

Its located in Computer Settings\Software Policies\Windows NT System\Logon in Active Directory group policies.

Check MS Q313924
To Edit the Local Policy on a Windows 2000-Based Computer
To make the Shutdown button unavailable on a standalone Windows 2000-based computer:
Click Start, and then click Run.
In the Open box, type gpedit.msc, and then click OK.
Expand Computer Configuration, expand Windows Settings, expand Security Settings, expand Local Policies, and then click Security Options.
In the right pane, double-click Allow system to be shut down without having to log on.
Click Disabled, andthen click OK.

NOTE: If domain-level policy settings are defined, they may override this local policy setting.
Quit Group Policy Editor.
Restart the computer.

To Edit the Group Policy in a Domain
To edit a domain-wide policy to make the Shutdown button unavailable::
Start the Active Directory Users and Computers snap-in. To do this, click Start, point to Programs, point to Administrative Tools, and then click Active Directory Users and Computers.
In the console, right-click your domain, and then click Properties.
Click the Group Policy tab.
In the Group Policy Object Links box, click the group policy for which you want to apply this setting. For example, click Default Domain Policy.
Click Edit.
Expand User Configuration, expand Administrative Templates, and then click Start Menu & Taskbar.
In the right pane, double-click Disable and remove the Shut Down command.
Click Enabled, and then click OK.
Quit the Group Policy editor, and then click OK.