Do I have to shut down all my software before I shut my computer down?
Not really (although Office XP programs get persnickity about this). Windows will shut things down for you, which can be a real time saver if you have a dozen open programs. However, note that if you have stuff pending (like unsaved documents) Windows will ask if you want to save this stuff before it shuts down.
Also note that if you have an open folder, you’ll find that it tends to get re-opened when Windows starts the next time.