I have the same motherboard and similar CPU (Core i7 2600, not the K version) and the same issue. The computer does not stay shutdown; it boots itself back up regardless of what I tried.
The only way to keep it shutdown is to flip the switch on the back of the PSU. Even then many times it immediately boots itself back up when I flip the switch back to on. I've disabled Wake-on-LAN (WoL) settings and everything that has been suggested here as well. I even tried with no Internet connection at all, AND even tried with a brand new PSU (the first one was new, but I thought it was faulty). Nothing solved the issue. I've learned to just live with it, and I have to flip the switch on the PSU after shutdown.
After reading about this specific board online in many threads similar to this, with virtually the same problem, I am thinking that this model of MSI motherboard is just poorly made and prone to this issue. I will never buy an MSI motherboard again, nothing else we can do.
I am also studying for A+ and went through my entire textbook about what could be the issue, tried everything, to no avail. Sometimes you just get a lemon...
Buyers beware, stay far away from the MSI P67 series motherboards.
I just wanted to add also that there are no other issues with the board, other than its failure to stay shutdown. It runs fine, and I've been using it for over a year now, doing intense gaming, streaming on Twitch.tv, benchmarks, editing, etc., with no issues. All the benchmark scores seem to be in line with similar systems, so as far as performance there is no effect from the "turns itself back on" issue.