You can hold the power button for 5 to 10 second?s like Gunbuster said.
Or you can go into the Bios and change what the power button dose.
I had a similar problem, the bios has setting for what the power button should do.
Check you power management properties... right click on desktop -> click on properties -> click on screen saver tab -> click on settings button for monitor energy savings.
click on the advanced tab -> make sure it says shutdown in the power buttons box.
Also windows should be automatically shutting down for you, sounds like you need to disabled some startup items and maybe get the shutdown patches for 98se.
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