This is a BIOS setup change that you'll need to make. When booting, press DEL, F1, or whatever to go into Setup and find the Power Management section. In there, you'll see options for powering off. It may take an experiment or two to get it to power off. Be sure to only make one change at a time so you'll know which one does it.
Ken, I double checked the settings in BIOS. Still no change. Here's what I've done so far. Fresh install of Windows XP Pro, Reset the BIOS, Checked the Power Settings, checked pins 14 and 16 for continuity and unplugged and replugged-in the MoBo connectors, including Power supply. Is it possible that the mainboard has a defect? There seems to be no disconnect after Windows shuts down. The CPU fan still turns. Here are some specs to consider:
AMD Athlon, 1000 MHz (10 x 100)
Motherboard Name MSI K7M Pro (MS-6340M)/K7TM Pro (MS-6340)
Motherboard Chipset VIA VT8364(A) Apollo KL133(A) / VT8365(A) ProSavage KM133(A)