Detect windows shutdown

[Austin]

My program is running on windows and it is wrritten by Python and wxPython,
built by py2exe.

If my program is executed minimized, and the user want to shutdown or
reboot.
Meanwhile, my program is running and it has several threads running, too.
The shutdown or reboot will cause a error of my program.
Is there any way to dectect windows shutdown or reboot?
If I detect the message of shutdown, I could close all threads of my
program.