why? go to shut down?

Possibly.... but most likely not in the way you are thinking.. When you login to windows do you have the graphical login screen with several icons with names next to them? If so, and one is named for example "dvdacmn" another is named "barbara" another is named "george", have you ever noticed you have the option to Re-Start, Shutdown, "log off", or "switch user" If for example george was logged into your computer writing a letter and also playing a game but you needed to use the computer. If you chose "switch user" rather than log off, george will STILL be logged into your computer. His game and MS Word or any other applications he was using are still loaded and running in the background, even though YOU are also logged into the pc and are also running applications (for example Word or Excel). When you tell windows to Shut Down it's warning you that george is STILL logged into your computer and has applications running in the background that he may need still ( maybe his letter is not yet saved).

well, hopefully this is broken down enough to understand, sometimes i tend to ramble on..