So,it only happens sometimes when you shut down,not always?
And can you give me the exact message you are getting in the message box?Take a pen and paper and write it down,if that will help.
Also,could you please let me see your startup log?Open Spybot,click mode,Advanced Mode,say yes to the prompt,then click Tools,then click System Startup,click Export...,then click Save in the box that pops up.
Next,over to the left,click View Report,then over to the right select View previous report,then scroll through and find SpybotSD.System startup report,click it and select Open.In that window where the report will appear,please rightclick,then select Select All,then rightclick once again select Copy,then paste it here.
Once done,you can put Spybot back into normal mode by clicking Mode up top,then selecting Default Mode.