Yeah, this is pretty common.
One workaround is to place a shortcut to RUNDLL.EXE on your desktop.
RUNDLL.EXE is located:
C:\WINDOWS\RUNDLL.EXE
Once you have the shortcut on your desktop, right click it, choose Properties, and type "user.exe,exitwindows." in the Target text box. (without the quotations)
The Target text will then look like this:
C:\WINDOWS\RUNDLL.EXE user.exe,exitwindows.
Then just double click the new shortcut to shutdown.
RaTTuS [sig][/sig]