Problem Logging Off w/XP Professional

I've got a new Dell x200, w/Windows XP Professional as the
operating system. It's basically a stand along machine,
with me set up as the administrator. When I go to turn
off the machine, I hit Start, then Turn Off Computer. Then
I get the screen w/optoins for Standby, Turn Off and
Restart. I hit Turn Off and nothing happens. To shut down
I have to use Log Off, then Switch User, then I get a
screen that asks me if I want to shut off my computer. I
hit that and get a message that there are other users and
if I shut off it may screw up their data. I hit OK and
eventually I shut down. It sure seems like a LOT of stuff
to do just to shut down. I'm computer literate, but a
novice about networks. Any ideas how to simplify the
process of shutting down (turning off) my computer?
Thanks!