This might help you find out what the problem is.

Source: PCWorld

If you run Windows 2000 or XP and your PC reboots when it's supposed to shut down, the culprit is probably a system failure. These versions of Windows respond to system failures by rebooting, making it look like Windows can't distinguish between Turn Off and Restart. To get to the root of the problem, right-click My Computer and choose Properties. Select the Advanced tab. In Windows XP, click Settings under 'Startup and Recovery', uncheck Automatically restart, and click OK twice. In Windows 2000, click Startup and Recovery, uncheck Automatically reboot, and click OK twice. Now you'll be able to see what's making Windows blow up in your face, and maybe you'll be able to fix it or find a workaround.
You may want to also check out this site. I haven't run into this personally (haven't had shutdown problems since I switched to XP).