When I try to shutdown XP I get a blue screen with the error message:
"driver_power_state_failure".

When I start XP it can't create a pagefile.

Anyone who knows it is that cause this?

I've never seen this error personally, but you've got to point your finger at Hard Drive problems.
What make/model of HD have you got?
Also, is your power supply big enough for all the hardware you've got in your system?

According to Microsoft there are two possible causes for the message. The first has to do with a Pace device:
http://support.microsoft.com/search/preview.aspx?scid=kb;en-us;Q314101
The second has to do with a "non approved" driver or anti-virus software component
http://support.microsoft.com/search/preview.aspx?scid=kb;en-us;Q315249
See if either of these questions relate to your problem.