That's a tricky issue.
1. Try updating your Java:
Java 1.4.2 (click on link)
2. Go to LW's Tools>Options>Advanced>System Startup & untick option box. Press Apply button.
3. Go to LW's Tools>Options>Speed & untick Ultrapeer abilities (unless you prefer to be an UP.) Acting as a UP 'may' mean LW is slow to properly power down.
I think more likely it's a Java issue. I forgot to ask, which Operating System version are you using? And what type of connection? How much ram do you have?