It Is Quite Easy To Change: Shutdown Menu When Your Computer’s Power Button Is Pressed
Windows XP stops when the power button is pressed. It's a good idea to change it, then shutdown-menu is opened instead, especially if you have small children running around the house.
follow these steps:
Go to your Windows XP desktop and right click on it. Select "Properties" and the Display Properties window appears.
Open the "Screen Saver" tab and look for "Power" button at the bottom of the window. Click on this link.
In "Power Options Properties" window that opens, go to "Advanced" tab.
There is a dialog from there into the "Power Button" section. Choose What You want Windows to do the power button down Quandt EST.
"Ask me what to do", it will open the shut down menu.
Click "OK" and restart the computer. From now on, press the power button to open the shut down menu, so you can decide what you want to do.