Windows isn't shutting down right with new external hard drive

I recently plugged in a WD 500GB external hard drive "the book" to help me with my itunes issues. The last 2 times shutting down windows XP, it begins to shut down but the blue screen remains saying windows is shutting down. IS this related to the external drive? Never used one before, also got a menu prompt on the driver but didn't load any of the options.

 

During your next bootup try going into the safe mode screen (keep hitting F8 until you get there) and select "last known good configuration" to see if that will fix it.

 

Are you shutting down with the external drive still connected? If so, try disconnecting it (using the appropriate shutdown procedure for the external drive) before shutting down Windows.

It would probably help us figure out what's going on if we knew what error message(s) appeared. It would also help to know what options were offered in the "menu prompt" you mentioned -- and when that menu appeared.

Without information of that kind, you'll get guesswork for responses. And not all guesses are good guesses.