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.
The best I can suggest right now if it continues is to file a feedback form giving the URL for this thread and wait for them to get back to you: http://www.siteadvisor.com/userfeedback.html