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, as shown in figure below:

If you find this tedious, you can change the Power button action in the Start menu to Shut down the system or place into Hibernate mode. Here is how to change the Start menu Power button action:
1. Click Start, type POWERCFG.CPL and press Enter
2. Click Change plan settings under the Power plan you want to customize
3. Click Change advanced power settings
4. Double-click Start menu power button
5. Click Setting:
6. Select Hibernate or Shutdown from the drop-down box.
7. Click OK.

Now, when you click the Power button in the Start menu, it performs the action (Hibernate / Shutdown) you chose above.

Note: You can also Change the functionality of Power and Sleep buttons (in your PC chassis) in Windows Vista.
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Thank you so much…at last someone who can understand me and help