There is an option in System Preferences to disable this. Uncheck the box in the General tab right at the bottom Restore windows when quitting and re-opening apps.
I've tried that, it doesn't do anything.
You still have the message at shut down and you still have to uncheck the message.
And to the others mentioning pressing - Option / Shutdown method. This method still re-opens all the windows previously used on startup....
But thanks for the suggestion anyway.