It shouldn't really be causing this though. What is your SA version? Click the little down arrow then select About.
In IE7 go to Tools/Internet Options/Advanced and click Reset. Click Apply, OK & then exit IE7. When you next open it you will have to re-enable all your add-ons. Do that one by one and if you spot any that are unfamiliar post it here.
Is SA the only McAfee product you are using? If so I would uninstall from the Control Panel/Add or Remove Programs and then run the MCPR tool, reboot and run the tool again, then reboot.
I've never known SA to hold up a shutdown process as it's such a small add-on.