This is quite possibly due to the fact that you still have a program that has not closed correctly on shut down.
Do it shut down correctly in safe mode ?
Try End Task'ing eveything apart from explorer and systray and see if it closes correctly.
Also enable or disable "Fast Shutdown"...
This might be worth a try ?
This setting allows you to control which drives are visible in My Computer and Explorer. It is possible to hide all drives or just selected ones.
Open your registry and find or create the key below.
User Key...
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