I once heard of a similar problem that happens when you've used Windows to burn a disk during your windows session that can cause explorer.exe problems on shutdown.
It is possible that disabling the automatic end task logic might stop explorer.exe crashing on shutdown. If you
click here you can download a registry fix that will stop the automatic end task logic on shutdown. As always, when messing with the registry, be careful to back it up just in case something goes wrong.