It is possible that this is a problem with an Adobe photo program. If you use Adobe Album or Photohouse, here's what a little research and trial-and-error has come with.
Adobe's various photo programs all include an organizing subprogram that creates photo albums. It seems that Adobe transfers photos into its organizing program from various storage devices (camera disks, memory sticks, etc) using a subprogram that remains resident: apdproxy.exe.
It also seems that apdproxy.exe treats all sources of photo images as though they were USB drives (and perhaps flashdrives), even if the source is the photoshop program itself. (To see this, open your photoshop program, select preferences, then organizer, then card reader -- you will see that one of the "disk" options is the photoshop program itself.)
Whatever Adobe's intent, Windows seems to "think" of apdproxy.exe as though it was an open device; it won't shut off of its own accord, so you get the message at shutdown.
Here are your various choices:
1. Open your Adobe photo program (mine is Elements 4.0), go to edit preferences, work your way to the preferences for the organizer or photo album and get to something like "Camera or Card reader".
In this screen I have the option of using or not using Adobe Photo Downloader (apdproxy.exe, in other words). Uncheck the option and everything will now work fine.
2. If you want Adobe Photo Downloader to be resident for the times you plug in your camera or any other USB memory device, then ignore 1 above. You have the following sub-options.
a. The simplest is just live with it. When you get the CardReaderLookupWindow message, just elect to close it -- no damage will happen (uh, make sure your camera or memory stick aren't still connected, though).
b. You can hunt in the display area in the lower left for the icon for Adobe Photo Downloader before shutting down, click on it and select "exit". (This would have been the simplest choice, but as many of you already know, the display area in Windows XP frequently "forgets" to show various icons for active programs. In that case, move to step c.)
c. Open the Task Manager>Processes, find and close apdproxy.exe.
BTW: I have noticed that Photoshop Elements can really slow down the fastest of systems. I haven't tested this assumption yet, but it does seem that disabling the CardReader in Adobe preferences speeds up the program.
Good luck
P.S. Now if someone would find a workaround for the conflict between Internet Explorer 7 Beta and Adobe Updater (in Photo Elements), I would sure be pleased.