From the ShutdownGuard‘s site:
ShutdownGuard tries to prevents applications to shutdown, reboot or log off your computer. When it prevents a shutdown in Windows XP, it will pop up in the tray and ask you if you want to continue. In Vista and Windows 7, you will see another dialog. Note that ShutdownGuard will not be able to prevent all shutdowns, since some programs explicitly tells Windows to force the shutdown. This means some programs will still be able to shutdown your computer!
In essence, it will prevent e.g. automatic reboots of Windows after updates – these auto-reboots might be quite annoying if you e.g. had something important running overnight, and then in the morning you realize that your computer was rebooted in the middle of the process.