When you log off, the "saving your settings" phase takes longer than one minute, and the user profile may not unload. You may also receive the following event message in the event log:
Type: Error
Event Id: 1000
Source: Userenv
Description: Windows cannot unload your registry file. If you have a roaming profile, your settings are not replicated. Contact your administrator.
This issue may be caused by a problem with the spooler service. There is a hotfix available from Microsoft for Windows server 2000/2003, versions. Have the hotfix installed from here and also go through the related hotfix specifically for Windows 2000 servers here.