You should be able to run anything at shutdown by using a "policy". Open the policy editor (easiest way is to Start->Run "gpedit.msc"; otherwise as an mmc snap-in). Shutdown scripts are under Local Computer Policy->Computer Configuration->Windows Settings->Scripts. I don't know remember if I've ever used this, so I'm not 100% sure that it will wait for the script to end before continuing shutdown, but it ought to. Of course, that depends in part on getting the program you want to run to not immediately hand control back to the script as soon as it starts.