The windows shutdown procedure (click start / turn off computer, etc) is in my opinion a bit cumbersome. A neat way to sidestep this is to create a shutdown shortcut on your desktop.
Right-click on your desktop, choose new/shortcut and in the location box type (or C&P):
C:\WINDOWS\SYSTEM32\shutdown.exe -s -t 00
click 'next' and give it a name, e.g. Shutdown
click finish, and now you can assign an icon to it, so rt-click on the new shortcut and choose Properties, then click on 'change icon'. You will get a warning message but just click on 'OK' and it will show you the available icons within shell32.dll, where you can find the nice red square with a white circle & vertical line. Highlight it and click OK, then click OK on the file properties dialogue. Job done.
If you're feeling brave enough you can drag the shutdown icon to the quicklaunch bar, but be careful not to accidentally click on it!
There are also a couple of variants you can use:
C:\WINDOWS\SYSTEM32\shutdown.exe -l -t 00 (for logoff)
C:\WINDOWS\SYSTEM32\shutdown.exe -r -t 00 (for restart)
This procedure is for XP. I have no idea if it works in Vista, but I'm sure someone can enlighten us on that.
[As a postscript, in Windows 98 (and possibly for the rest of the win9x series), the code for the shortcut is:
C:\WINDOWS\RUNDLL.EXE user.exe,exitwindows
]