Usually you can do that by holding the power button for ~5 seconds and it will ask if you want to shut down, and do you care about losing data, etc...
If that just turns the screen off or something else then you may need to go Settings -> System -> Power and see if there is an option along the lines "Holding down power button: Power off" or so on.
Edit: I've just remembered that there is another way as well that I sometimes use, the excellent software PSShutXP allows you to shut down, restart or schedule events via a nifty Windows XP like shutdown dialog, which I believe would do what you are asking for as well.