By default, when you click the Power button in the Start menu, it goes into Sleep mode. To turn off your Windows Vista system, you’ll have to click the arrow (next to the Power button), and select Shut Down in the drop-down list. If you find it tedious, you can change the Power button action in the Start menu to Shut down the system or place into Hibernate mode.
Note: This guide was originally written for Windows Vista, but the same steps are applicable for Windows 7 as well.
To get started, click Start, type powercfg.cpl in the Search Box and press Enter.
Click Change plan settings under the Power plan you want to customize
Click Change advanced power settings.
Double-click Power buttons and lid, now expand Start menu power button and then click Settings as shown in the screenshot below.
Now Select Hibernate or Shutdown from the drop-down box, click OK.
Now, when you click the Power button in the Start menu, it will perform the action (Hibernate / Shutdown) you chose above.