This is a real pain in Vista, when I click the shutdown button it just makes the computer go to sleep. (From a design point of view the least MS could have done is has a different button for shutdown and sleep!!)
Start > Control Panel > Hardware and Sound > Power Options > Change Plan Settings > Change Advanced Power Settings
Now look for Power Buttons and Lid > Start menu Power Button and change the setting for both On attery and Plugged in to Shutdown
There that wasn't so hard !!!!