You can shut down Windows with a desktop icon instead of going to
Start->Shut Down->Shut Down.  We’ll show you how to make the desktop
icon, and from now on you can just double-click the icon and you are
done.
 
Create a new desktop icon as follows:
 
1.Right click your desktop to bring up a context window. Select New,
then Shortcut.
 
2.In the command line space, type the following (exactly):
C:\WINDOWS\RUNDLL.EXE user.exe,exitwindows (space only between exe and
user).
 
3.Click on Next, then rename the icon Shutdown (or whatever you want
to). Click on Finish and your new Icon is on your desktop.
 
4.Now when you double-click your new icon, the computer will go
directly to shutdown.