When shutting down my computer running Windows XP Professional SP3, it sometimes gets stuck with a message window saying that Proxy_Desktop wasn't closing and if was it ok to kill it. If I would kill it, the computer will shutdown successfuly. I've looked through all the processes showing in Task Manager, but never seen one called "Proxy_Desktop". So what is this "Proxy_Desktop"?
Sometimes this is a result of having folders launched in separate processes. When your machine is trying to shut down, these separate processes create the hang and show the famous "End Task" screen for proxy desktop. You can easily disable this: