I think this is going to depend on your OS as well as which power supply you're running but an orderly shut-down is not difficult with most set-ups. I am running Win 7 Ultimate x64 and am using an M4-ATX pwr. supp. The settings are in the power supply manual but essentially what happens is that when the accessory wire is "disconnected" (essentially when the vehicle is shut off), the power supply sends a "power off" pulse to the motherboard. The PC then does an orderly shutdown of all running processes and then shuts off. There are jumpers/dip switches to adjust the actions of the supply as well as the time allotted for the shut-down before all power is removed from the mobo (I have mine set up so that after 1 minute, the power supply does a hard shutoff whether the PC is finished shutting down or not, I've never had it not finish a shutdown before that).
What OS and Pwr Supp. are you using?