Are you a "Classic" lover? I mean when you click Start –> Power Button, and you found Vista is not shutting down, but goes into sleep mode. Oh! Yeah! You already tried the changing the Start menu to "classic" Start menu. Didn’t help ya? Power button still does the "Sleep" mode. Don’t worry there is trick that makes what you want.
2. Click "Change Plan Settings" on the corresponding current power profile.
4. Click OK and "Save settings" button to close the dialog boxes. Then close the Power Options window.
You are done. Shut that computer away in two clicks.