Hello, maybe this is a known issue. I use LyX since versions 1.5 (till curren 1.6.3) and, as far as I can remember, I've never been able to shut down Windows XP without manually closing LyX. (it doesn't even ask to save my unsaved docs, unless I manually try to close LyX). This is not that annoying, but considering that AFAIK is the only app in my machine that behave like this.
Regards.