It seemed that shutdown in WindowsXP was taking excessively long, with it taking several minutes at the “Saving Your Settings” screen.
Surprisingly(?) I found a tool at Microsoft that provides a solution to get shutdown times back to only a few seconds:
User Profile Hive Cleanup Service
The User Profile Hive Cleanup service helps to ensure user sessions are completely terminated when a user logs off. System processes and applications occasionally maintain connections to registry keys in the user profile after a user logs off. In those cases the user session is prevented from completely ending. This can result in problems when using Roaming User Profiles in a server environment or when using locked profiles as implemented through the Shared Computer Toolkit for Windows XP.