Interesting idea. I tried myself after forcing a similar situation on a test PC I have (Win2k), and found I get Access Denied if I attempt to kill the process doing the shutdown through Task Manager. However, I can kill it and prevent the shutdown using alternate process tools for WinNT systems.

Since you used the normal Task Manager though (which gives Access Denied if you try to end task through there), I think you might have got one of those annoying Messenger pop-up things disguised as one, but I'm not sure.

In any case, you should be patching your PC anyway, wouldn't be good if you suddenly got the message while you quickly left the room to do something and you return to find the PC off