Your computer may "hang" while shutting down, if this has just started happening think of any program or new devices that you have added and start trouble-shooting with them. Other items to look for even include a new screen saver or a new shutdown sound. Does your computer refuse to shutdown after you use your modem? To understand how complicated it can be to trouble-shoot this problem read the Microsoft article at:
http://support.microsoft.com/support/kb/articles/q238/0/96.asp