I did a simple test on my WinXP/Apache1.3.27/PHP4.2.3,
<?php
function aaaaa(){
$fp=fopen("aaa.log","a+b");
fclose($fp);
}

register_shutdown_function("aaaaa");
?>

First time, I configue PHP as CGI mode; after run I found new file aaa.log shows up, then I deleted it.

Second time, I configue PHP as ApacheModule mode; after run I found NOTHING.