Several times each week, my Windows 98 system crashes during shutdown giving me the Blue Screen of Death. At that point, you can press any key to let Windows try to recover and continue shutting down. Unfortunately it often fails and hangs completely. Eventually I shut off the power. When I restart the computer, the system calls me nasty names and blames me for corrupting the files it trashed during the ill-fated shutdown. In one instance, the shutdown corrupted a system file, causing me several days of headaches.
To avoid this, don't let the shutdown continue. Before shutting down, save data and close all open applications. Then if you see the Blue Screen of Death during shutdown, press Control-Alt-Delete repeatedly until the system reboots. After the system restarts, log in and shut it down again. Because this is a fresh boot, the system should shut down properly this time without corrupting your files.