Windows identify it as a sign of failing to shutdown safely !?

Some DX components was lost in my system. To restore them, i downloaded the
DXWebInstall.exe. In this way, i can make sure i get the latest dx.
Things are always going weird.
I am certain that i shuted down my system properly. Strangely, my pc booted
with a warning msg: "Windows fails to shut down properly last time. Would you
like to start Windows in Normal mode?". After loged into system, only to find
my newly patched dx components are lost.
My journey of suffering then begun:

Install DX -> shut down system -> boot up -> got a warning -> DX components
lost -> Install DX ................

What the hell is going on?
I'd appreciate anyone who provides help.

[Vista Ultimate 32bit WITHOUT SP1]

(BTW, i can eliminate this strange restoration by manually remove all Volumn
Shadow Copy on drive C: via vssadmin cmd. But that won't last long. )

Some other system DLLs are also lost