Before shutting down the computer you should save and close all open programs. Shutting down the computer turns the system
off completely. To safely shut down a Windows computer,
click on the Start Menu, move the mouse pointer up to
select "Shut Down..."and click once. If you
are running the Windows XP Home user version you will
see "Turn off computer" rather than Shut down.
Windows XP Shut Down

The "Shut Down Windows" dialog window will appear. From this window you can choose to Restart or turn off your computer. The computer will automatically shut itself off. It does not require you to push the power button.
Windows Vista Shut Down

For Windows Vista you have different options from the Start menu to set your computer to sleep mode, lock, log off, restart, hibernate, or shut down.