Win 2K does not shutdown.

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I installed Win2K/SP4 in a new drive. Everything went well except one funny thing: When I attempt to shut down, I don't see usual "It is safe to turn off computer". Instead, when the "shutdown" is clicked, the screen becomes black and then the computer start Windows again as if I selected "Restart". This does not happen with my old HDD so I must believe that the problem does not result from the computer itself. How can I fix this odd behavior?

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