On my machine;

Start, Administrative tools, Local Security Policy, Local Policies, Security Options, Shutdown: Allow system to be shut down without having to log on policy

>>Windows XP ??
>
>Sorry, I forgot to mention this. Yes, it on Windows XP.
>
>>If shutdown -s -t 0 doesn't work see if you have a policy that prohibits shutting down while there is no logged-on user.
>>Open local policies, security options and enable the shutdown: Allow system to be shut down without having to log on policy.
>
>Where do I find the local policies?