Shamelessly ripped from a Microsoft article:
We have to Disable and Remove Shutdown option using Registry Editor. Open Registry Editor, go to following path: HKCU\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer
Select Explorer in the left-hand pane, right click in the right-hand pane and select New >DWORD; then name it as NoClose.
Double click on NoClose and change the Hex Value to 1; Click OK and Close Registry Editor.
Restart, you will be able to Disable and Remove Shutdown in Windows 7 Home Premium or lower in this way.