Windows 2000 (with the Resource Kit installed) and Windows XP (natively) have an actual shutdown command that can be launched from a command prompt — and which, therefore, also can be launched from a shortcut. To see all available options for this command, click Start, click Run, and type:

SHUTDOWN /?
http://aumha.org/win5/a/shutcut.php

So, it looks like you need the Resource Kit to upgrade and get the cool new shutdown command.

also see

http://support.microsoft.com/?kbid=317371