Note, that rather than holding down the shift key when initiating your shutdown, you can simply use the "restart" option. This will shutdown and restart the computer without using saved state info, just as if you had shut down using the shift key.
You can also set your computer to completely shut down when you turn it off, which will have the same effect. You do this by turning off "fast startup" in the control panel.
If you wish to do so, here are the steps:
Enter the control panel - easiest way is to type 'control panel' into the search window by the start icon, and select the app that shows up.
Select the power options icon
Select "Choose what the power buttons do" from the left hand side list
If you have "shutdown settings" with a checkbox to "turn on fast startup (recommended)", uncheck that box.
If not:
Select "Change settings that are currently unavailable" at the bottom of the top paragraph, with the shield next to it
You should now have the fast startup checkbox, listed above - uncheck it and your machine will do a "clean boot" each time. It may take somewhat longer to boot than before, but will not save anything from boot to boot.
Mike