How to schedule a task to run when shutting down windows

In addition to Dan Williams' answer, if you want to add a Startup/Shutdown script, you need to be looking for Windows Settings under Computer Configuration. If you want to add a Logon/Logoff script, you need to be looking for Windows Settings under User Configuration.

So to reiterate what Dan said with this information included,

For Startup/Shutdown:

1. Run gpedit.msc (Local Policies)
2. Computer Configuration -> Windows Settings -> Scripts -> Startup or Shutdown -> Properties -> Add

For Logon/Logoff:

1. Run gpedit.msc (Local Policies)
2. User Configuration -> Windows Settings -> Scripts -> Logon or Logoff -> Properties -> Add

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Source: http://technet.microsoft.com/en-us/library/cc739591(WS.10).aspx

Execute gpedit.msc (local Policies)

Computer Configuration -> Windows settings -> Scripts -> Shutdown -> Properties -> Add