Don't have XP clear your paging file at shutdown
For security reasons, you can have XP clear your paging file (pagefile.sys) of its contents whenever you shut down. Your paging file is used to store temporary files and data, but when your shuts down, information stays in the file. Some people prefer to have the paging file cleared at shutdown, because sensitive information such as unencrypted passwords sometimes ends up in the file.
However, clearing the paging file can slow shutdown times significantly, so if extreme isn't a high priority, you might not want to clear it. To shut down XP without clearing your paging file, run the Registry Editor and go to:
HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Control\Session Manager\Memory Management
Change the value of ClearPageFileAtShutdown to 0. Close the Registry and restart your computer. Whenever you turn off XP from now on, the paging file won't be cleared, and you should be able to shut down more quickly.
Turn off unnecessary services
Services take time to shut down, so the fewer you run, the faster you can shut down.