Execute code after Shut Down command given --- How?

[Virgil Stokes]

I would like to execute some Python code (popup message to be displayed) when 
Windows Vista/7 is shut down. That is, this code should execute after  "Shut 
Down" is given from the "Shut Down Windows" popup, but before the actual shut 
down sequence starts.

How to write Python code to accomplish this task?
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