Windows Vista has a quick power button on the start menu, which is set to put the computer into Sleep mode by default. Most users won't ever use sleep mode and would much rather have quick access to a shutdown button instead.
To change the button assignment, run ,1 from the run menu (press WINDOWS KEY + R to access this). This will load the Power Options menu:
Once this loads, open the Power Buttons and Lid > Start Menu Power Button tree. You can then select the action when you click on the start menu power button (in this example, shutdown will be used). Click OK once this is done:
When you view your start menu now, you should notice the icon has changed to a power off button: