Yes a website can shutdown your PC and I used to deal with it years ago when visiting the ZDNet download website on my Win98 PC.
However I suspect it may also be because of an open port that can be remotely exploited by some script kiddy which can shutdown your PC which is something just about any modern software-based firewall (ZoneAlarm, Sygate Personal Firewall, Sunbelt Kerio Personal Firewall, even Windows Firewall) will protect against unless of course the problem is from a script on the website.
If this is constantly happening to you on a more than annoying level I'd suggest that you make sure it isn't malware related and do the following:
- Read and follow the Spyware Removal Guide
- Post a HijackThis log in:
http://forum.ccleaner.com/index.php?showforum=12