subrath,

could you please provide more details.
1. Which OS are you using? (XP, Vista?)
2. When you press 'Turn off' in the turn off screen,
        a. it does nothing
        b. it goes to 'saving settings' and stops
        c. it goes to 'shutting down' and stops

Most of these problems occur due to:
1. Hardware-OS incompatibility ( have you recently installed any hardware?)
2. wrong entries in registry (have you uninstalled any software or made any changes to configurations?)
3. trojan, virus, adwares/spywares ( have you recently scanned thoroughly?) Use online virus scanner (not from the one installed in your machine, since viruses may remove their entries from the virus definitions of your anti-virus)

11D.