shutdown problem in xp

There are at least three possibilities.

1. System failure.
The default setting for Windows XP when there is a system failure is to restart.
To check this, navigate to
My Computer (right click) | Properties | Advanced | Startup and Recovery Settings and uncheck Automatically restart box under System Failure.
Restart and shut down Windows nornally. If there was a system failure, this would produce a Blue Screen of death (BSOD) with the computer frozen.
The BSOD will give an insight whether the sytem failure was due to hardware, driver, application, or Windows. Further troubleshoot may be required to pinpoint the cause.

2. Plug-in -card (typically a PCI card)
If there was no BSOD above, the reboot may be caused by a plug-in-card. If you have a NIC, modem, sound card, or any I/O card, unplug all of them and see if the computer still reboots. If the rebooting stops, plug in one card at a time to find the culprit.

3. USB connector
Some case have front USB (or Firewire) connector that plugs to the motherboard. If this is the case, disconnect them to see if the rebooting stops.

And then there is always the obvious....
When you click on Start, Shut Down..is it shut down or restart that appears in the popup?