It takes a couple of confusing steps to "shut down" Windows Vista. You click that Start button, go past the "Power Off" button (since it’s meant for putting your computer in Sleep mode) and then select "Shut Down" from six other options.
Shut Down in Windows Vista
Luckily, there’s an easy way to change this default setting and you can use the Power Off button in the Vista start menu to Shut Down and not switch to Sleep mode.
Go to Control Panel – > Power Options – > Change Plan Settings – > Change advanced power settings – > Power Buttons and Lid – > Start menu power button and change the setting from Sleep to Shut Down.
If that sounds like another confusing path, watch the screencast courtesy Vernoica Belmont.