Key: Software\Microsoft\Windows NT\CurrentVersion\Winlogon
Value: 1 Enable power off after shutdown
After this, the shutdown dialog should be Shutdown and Power Off.
If you make the registry change and the PC reboots instead of powering down,
you can often get it to work by upgrading your hal.dll with the Softex dll which
shipped with SP4.
If this does not work, and your PC just reboots, check with the vendor of your PC and see if they have a powerdown BIOS and hal.dll. It may be, that you do not have an ATX power supply. Newer PCs do, but ...