You can do this with some code by handing the SystemEvents.SessionEnding ^[1] event. This will show a dialog box when you try to logoff or shutdown and ask if you want to cancel the logoff or shutdown.

The code can be compiled for free with either the Visual C# 2008 Express Edition ^[2] or with the windows SDK ^[3].

With the sdk, use the following command:

csc.exe   /out:StopShutdown.exe /target:winexe StopShutdown.cs 

Here's the code:

using System;
using System.Windows.Forms;
using Microsoft.Win32;

namespace StopShutdown
{
    static class Program
    {
        [STAThread]
        static void Main()
        {
           string desktopRegKey = @"HKEY_CURRENT_USER\Control Panel\Desktop";
           Registry.SetValue(desktopRegKey, "AutoEndTasks", 0);
           Registry.SetValue(desktopRegKey, "WaitToKillAppTimeout", 20000);
           Registry.SetValue(desktopRegKey, "HungAppTimeout", 20000);

            Form AppForm = new Form()
                {
                    ClientSize = new System.Drawing.Size(0, 0),
                    ControlBox = false,
                    FormBorderStyle = FormBorderStyle.None,
                    Opacity = 0,
                    ShowIcon = false,
                    ShowInTaskbar = false,
                    SizeGripStyle = SizeGripStyle.Hide,
                };

            SystemEvents.SessionEnding += (_e, e) =>
            {
                DialogResult dr = MessageBox.Show(
                                    "Cancel shutdown?"
                                    , "Shutdown",
                                    MessageBoxButtons.YesNo,
                                    MessageBoxIcon.Question,
                                    MessageBoxDefaultButton.Button1);

                e.Cancel = (dr == DialogResult.Yes);
            };


            Application.Run(AppForm);
        }

    }
}

Edit:

Downloadable source and exe ^[4].

[1] http://msdn.microsoft.com/en-us/library/microsoft.win32.systemevents.sessionending.aspx
[2] http://www.microsoft.com/express/vcsharp/
[3] http://msdn.microsoft.com/en-us/windows/bb980924.aspx
[4] http://cid-552753bb951aae20.skydrive.live.com/self.aspx/.Public/Code%20Samples/StopShutdown.zip

If you're willing to do a little registry editing... Start -> Run -> regedit

HKEY_CURRENT_USER\Control Panel\Desktop

Make sure AutoEndTasks is 0, and set WaitToKillAppTimeout to 20000 (the default value of 2 seconds). You can set the value higher if you wish. There's also HungAppTimeout (the defalt is 5000), but that applies more for applications which are not responding.

Whenever I do a shutdown on XP, if a program is a busy, it gives me a progress bar and an option to 'End Now' or 'Cancel'.

Clicking 'Cancel' stops the shutdown process. However, whatever it has already shutdown doesn't come back up.

But it does give me time to save what I was working on before re-attempting the shutdown.