until you find a permanent solution, maybe you can try this one. if you have a cd or flash drive put a copy of all the files from fgunz on that cd/fd. this way whenever you shut down ur computer, whatever may be causing the problem, at least you still have a fresh copy on ur cd/fd ready to go with all your keys preset.
also, for more permanent effects, when you start ur computer, do you have any programs that might interfere with how the game runs? because it's weird that it only happens when you shut your computer down. it would imply some kind of file change that you're computer is causing... find out what it is and either turn it off or delete it. try gamebooster to close some background programs as well that may be causing it.