This will be not be the most useful feature and you can't do miracle by turning on this feature, but you would not neglect this feature because you will know soon how important this feature in vista.
Vista doesn't have quick power off button and you will find it in Xp and most users miss this feature. But now you can make your quick power button by using sleep button in vista.
go to control panel then power options next power settings change for current power plan and advanced power settings. Now expand power and lid buttons, select start menu power button. Change setting from sleep to shutdown.
That's all your problem is solved.