This is a common problem with windows 98. I believe microsoft released a patch for this, but it didn't work for everyone. There is something else you can try though. Go to your START button and choose RUN. Type MSCONFIG and press enter. Make sure you are on the GENERAL tab property sheet. There should be a button at the button of the sheet called ADVANCED, Click it to go to te ADVANCED menu.about half way down that property sheet is a entry that says "Disable fast shutdown" it may or may not have a checkmark in it. If it does remove the checkmark, and press OK then press OK again. You will probably get a dialog box that wants you to restart Windows. Choose YES, then after it reboots and Windows has loaded back up, shut it down. Then you can see if the checkmark you removed had any effect on the shutdown.
If this doesn't solve your problem, then it more than likely another program you have installed interferring with shutdown working properly. You can go back through and change that setting in the MSCONFIG menu and you will be OK. It will be back like it was. Norton Antivirus has been known to interfer with shutdown. From what I have read about this problem, it doesn't work on all 98 computers. Hope this helps