I get this message when shutting down, other people are logged in using this computer are you sure you want to shut down. I am the only one ever logged into this computer what does this mean.

Do you have Fast User Switching enabled, as this sometimes causes this message to appear..

As mentioned above, check to see if that is set

Enable or Disable Fast User Switching

Note: To enable Fast User Switching, you must also enable the Use the Welcome screen option. This feature cannot be used if your computer is a member of a domain. To enable Fast User Switching:

1. Log on to the computer as an administrator.
2. Click Start, click Control Panel, and then click User Accounts.
3. Click Change the way users log on or off.
4. If it is not already selected, click to select the Use the Welcome screen check box.

NOTE: The Use Fast User Switching check box is unavailable until you click to select the Use the Welcome screen check box.
5. Click to select the Use Fast User Switching check box, and then click Apply Options. Quit the User Accounts tool.

Also, if you have drives or folders shared on your computer on a network - it may be telling you that the other computer on the network still has access to your files/folders and you are disconnecting them from your PC when you shutdown