This is so going to annoy me! What was happening with mine was (and this was about 18 months ago), I would hit Start > Turn Off Computer > Shutdown, the Shutdown box would disappear, and I would be back to my desktop like nothing had happened. No reboot, just nothing.
I'm fairly sure it was something simple to rectify, but I think the answer was on the 'old' forum. Maybe one of the ExPC people might remember?
It seems odd that this has only just started to happen, Jon. Just a shot in the dark, but, assuming you are using XP, have you thought about doing a System Restore to before the problem began?