For production networks, especially with several administrators, it's best to leave the Shutdown Event Tracker policy as 'Not configured', or set the radio button to 'Enabled'.
The procedure to disable the Server Shutdown Event Tracker depends on these variables:
Are you in a Domain? If so, configure via the GPMC.
Be aware that Domain Controllers have their own Group Policy.
Do you want to alter the Domain policy, or are all your servers in their own OU? In which case you could set the tracker policy at the OU level for your SQL or Exchange servers.
Is it a standalone machine? Perhaps a test computer in a workgroup? If so, call for Gpedit.msc (and not the GPMC).
Group Policy path to Disable Shutdown Event Tracker:
Assuming you have launched GPMC or Gpedit navigate thus:
Local Computer (or Default Domain) Policy
Display Shutdown Event Tracker
'Display Shutdown Event Tracker' is in the root of the System folder. See the screenshot below.
2. Check the logic: if you want to get rid of the dialog box, then select 'Disabled' (for Display Shutdown Event Tracker). To restore the default then check the 'Enabled' box.
3. This Group Policy setting will be effective immediately, thus you should see a change the next time you reboot or shutdown the Windows Server machine.
Disabled Tracker for Servers Only, or Workstations
In a domain you have a separate option dialog box within this Group Policy, this drop-down box gives you three choices, see the screenshot below.
A popular selection is for 'Servers only' to receive the Shutdown Event Tracker dialog box but you could also set the policy so that it affects just Workstations.
Your precise settings depend on your Group Policy philosophy, do you set policies just at the Domain level? Alternatively, do you fine-tune for computers in the OU's?