If the application that's hanging on shutdown is iexplorer.exe rather than iexplore.exe, then you likely have a malware infection.
Please go to the Malware Forum
and follow the instructions you'll find there.
That will give you several steps that will help you clean up 70 percent of all problems by yourself. If at the end of the process you are still having difficulty--and you may not be-- post a hijackthis log in THAT
forum. Do Not reply to or "bump" your own topic...if it shows a reply, it may be overlooked as one that is being worked on.
If you are still having problems after getting a clean bill of health from the malware expert, please return to this thread.