You know the drill. You start to shut down the computer, you wait a few moments, and then you see a dialog box asking if you want to kill an application or service that is running. Instead of prompting you, you can make Windows XP take care of the kill task automatically.
Here's how:
1. Open the Registry Editor.
2. Navigate to HKEY_CURRENT_USER\Control Panel\Desktop.
3. Highlight the value AutoEndTasks and change the value to 1.
4. Close the Registry Editor.
"Windows XP Tips: Automatically Killing Tasks on Shutdown"
Reference : techpraveen.com
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