The XP one makes an alert noise, and then the shutdown sound. As I understand it, the error noise is some program crashing or showing an error in the background, but you can't see it because, well, it's showing that shutdown screen.

Also, on the Windows 95 and 98 ones, you can double-click an option to do that action - instead of clicking e.g. "Shut down" and then OK, you can just double-click "Shut down" to shut down.