I want replace this file because the windows xp shutdown menu isn't displaying properly
You didn't spend much time looking did you?http://www.ehow.com/how_5171504_replace-msginadll.html L
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It doesn't always work the ehow way, because once you boot GUI, the file is used by windows. So you can not replace it (unless it failed to load).
If you are having problems with msgina.dll (errors suggesting this is your problem) and you are able to login... You could expand the file from your Windows XP CD... search for MSGINA.DL_ (let's say you find it under D:\i386\ then from your command prompt... expand D:\i386\MSGINA.DL_ %SystemRoot%\system32 Or try to find the file on the web (or maybe here)... download it and save it directly in your %SystemRoot%\system32\ directory...