How to make Windows XP dont turn off the computer a but says its now safe to turn off your computer?

tell me exactly when it says this, do you go to start/turn off computer/ and then press the turn off button?

are you using the welcome screen?
reply 2:

"It is now safe to turn off your computer" ; That's regular message on older Pentium I systems with old power management specification Advanced Power Management and ACPI (Advanced Configuration & Power Interface version 1.0 )

above from HERE, read it through , and let me know the answers to the questions, and if the solution works.
Maybe your BIOS settings would have an option to disable advanced power management, etc.

Or just install a Win9x with the "Standard PC" selection to get the full experience. :)