Delays in shutting down.

Hi all, ever since getting two trojans on my comp. Had a nightmare of probs. Getting there tho. One thing that i am stuck on is when you shut down.
I have ME millenium edition, had too many probs with XP
Go to Start then shut down box,select shut down normally this shut down happens in seconds. Now it just stalls for 20 secs then i get a window telling me i have to select end task to carry on with shut down.This takes another 20 secs then shut down occurs.
Tried looking everywhere in hdrive but cannot find whats causing the delay.
Anyone help? Cheers Wild.