It's not a problem as long as your amplifier gain isn't set high. If it's a loud pop and/or you can see your woofer move, then it's best to turn your amp off before you shut down the computer and turn it on after the computer gets into Windows.
Higher end sound cards like my Xonar have built in relays that delay any output for a few seconds after initialization and disengage before shutoff. I can hear a click from inside the case when booting or shutting down.
