From PC World: If you’re using Windows XP, right-click the desktop, choose New, Shortcut, type
shutdown -s -t 00, click Next, give the shortcut a name (for example,
Shutdown), and click Finish. Next time you need to shut down, click the shortcut icon.
That will save you a few tedious steps (Start > Shutdown, Choose Shutdown Computer, etc.) everytime you want to just shut down the PC and walk away.
Note: This can be done with Windows Vista, but you have to first browse to another application object, create the shortcut, then change the properties to insert the command above.