/ hey thats my rig, and i have EXACTLY the same damn problem, never figured it out why it does that. its really annoying at first you turn it off go to bed, and when you get up and there it is asking you for your password.
if you hold in the power buttong in does swtich off properly, but not if you shut down from windows, its quite strange, and ive never found a soloution.
i did have a thought once though, when you turn thecomputer on, hte switch conects and then the disconectes, a single pusle in effect, which tells the mainborad to power up. if you hold the power button in, a contuinous current through the switch is happening, which makes it shut down.
pressing restart is the equvalint of telling the computer to power up again clearing anything in the ram, (a diffrecnt pulse) in the os on shut down, they simulate the pulses sent by the switches. so mayb xp is simply sending the wrong pulse, on th the nforce 2 mainboard, and mayb there is a fix, but i cant seem to find one.
you can try microsofts "soloution" which is to turn off atomatic restart in the event of expected sytstem power faliure, but all i got when i tired to shut down, was the blue screen of death.