The Start menu has dramatically changed in Windows Vista and one of the changes are how you choose to shut down, log of or put your computer to sleep.
By default the two buttons in the start menu can be used to put your computer to sleep and to log you off. If you really want to turn your computer off you can press the right-arrow button and get a menu where you can shut down, restart etc. Windows XP also has two buttons but instead of having a sleep button it has a shut down button.
Putting your computer to sleep is a good idea, it saves you some time when starting up Vista and logging on. But, Vista is not that stable yet that you can leave your machine running for days and weeks, at least not for me who works with development and a lot of applications. I always shut the computer down so the memory is fresh when I start to use the computer. So this new menu does not make me work faster.
I now press the Windows key and then hits the right arrow key three times, to reach the shut down alternative, and then hit enter to shut my machine down.
To save two keyboard hits or one mouse click you can alter the start menu power button to shut down instead of going to sleep, by going to the Control Panel and Power Options then select Change plan settings for one of your power plans. Then click on Change advanced power settings. This will bring up a dialog in which you can select Start menu power button, in the tree. There you can change what the button will do for you, for each power plan.
This is how your start menu will look like when you choose to use the button to Shut Down.