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.
1. Click Start (Orb) button and type "Power Options" and select the "Power Options" from the start menu. OR you can go to control panel and open the same thing. It looks like this.
2. Click "Change Plan Settings" on the corresponding current power profile.
3. Click on "Change advanced power settings". Find and Expand the "Power button and Lid" from the Tree of options. On the "Start Menu Power button". Change the "On the Battery" and "Plugged in" to "Shutdown".
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.
Anand, the Architect 