You click out of what? Please give details on when you get the error. Are you talking about at shutdown? If so, hit ctrl-alt-del and end task on everything EXCEPT explorer and systray. Then shut down. Does it shutdown properly? If so, you've got something running in the background that is keeping Windows from shutting down.<br>
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Check your C:\windows\start menu\programs\startup folder and temporarily move everything in there into a different folder. Can you shutdown now? There could be registry entries for other items that run in the background. But, that's another story. Repost if neither of the above help you.