Shut down window keeps popping up...

This issue keeps me busy since Snow Leopard already, and I thought it's done with a new Mac (Early MBP this year, migrated via Time machine) or Lion (installed right after launch) - but still there:
My 15' MBP (early this year) is connected to a 30 inch Cinema Display (one of the last versions available) via an Apple cable ($99).
Now I disconnect my MBP from the Cinema and work mobile, and not every time, but very often, I come back and connect it back to the Cinema, the "shut down" screen keeps popping up. If i hit cancel, it comes back in seconds. There is no alogorithm to get it going...at some point it just stops. This was partly ok with Snow Leopard, since this screen could have been just moved to a spare part of the screen and I could continue working...but under Lion, you cannot mve it away and work - since the shut down window is dominant and keeps getting activated. I have attached a screenshot of the shut down window so everyone knows what I am talking about. 
How can I get rid of the issue? It's not a hardware issue, since I had 2 Macbook pros with the same issue...seems to be a software issue.
Can you help?
Thanks, Markus

Never seen or heard about before your posting it here.
Allan

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