There are two shutdown screens for Windows 95. Unlike the startup screen, no animation is possible with these two screens. The first one, the "wait" screen shows the message: "Please wait while your computer shuts down" and the second, the "shut" screen displays: "It's now safe to turn off your computer".
It should look something like this. Click on the small gifs below to see the original 640 x 480 images.
The "Shut" screen will look like:
It's really very easy - the hardest part is to find the pictures that you like. Unlike the Startup screen, there is no need to manipulate the colour pallette. Just design a picture that you want to be shown as a 640 x 480 image. Resize it to 320 x 400 and save in the windows bitmap format. Rename it to logos.sys or logow.sys depending on if you want it to be a shut screen or a wait screen and place it in your windows directory.