Change the Sleep Button on the Start Menu to Shut Down

is it overheating?

Open the Control Panel, select Power Options, select High Performance, select Change Plan Settings, Under Plugged In, set time to Turn Off Display, set Put the Computer to Sleep to Never, select Change Advanced Power Settings, scroll through the settings , click on the + at Power buttons and Lid, set to shut down, Sleep and Hibernate to Never, adjust the rest to your preference. When you are not using the Laptop ALWAYS shut down and unplug to prevent damage due to power surges.

A laptop computer is typically set to conserve battery power. One of the common settings called standby, sleep mode or hibernation turns off power to the screen and the laptop itself after a preset time limit passes without any mouse or keyboard activity. It can be inconvenient for the computer to shut down while you're working on an open page or during a download. Change the setting if you don't want your laptop to going into automatic shutdowns

Turn the laptop computer on with the power button if it's not set to turn on upon opening. Allow the system to boot up. Open the panel for adjusting the sleep settings. This varies among the popular versions of Windows operating systems. To change the sleep mode setting on a laptop running Windows XP, click the "Start" button, and click the "Control Panel" selection. Choose the "Performance and Maintenance" selection, and click on "Power Options." Click the "Power Schemes" tab, and click the drop downs next to "Turn Off Monitor," "Turn Off Hard Disk," "System Standby" and "System Hibernates." Select "Never" for each drop down in both the "Plugged in" and "Running on Battery Power" columns. Click the "Hibernate" tab and click to remove the check mark in the box next to "Enable Hibernation." To change the sleep settings on a Windows Vista laptop, click "Start," "Control Panel," "Systems and Maintenance" and "Power Options." Then click "Change Plan Settings" under the currently established plan. Click on the "Advanced Settings" tab and select the "Never" option on the "Sleep," "Sleep After," "Hibernate After," "Display" and "Turn off Display After" drop downs. Click the "OK" and "Save Changes" buttons to confirm the settings. To change the sleep settings on a laptop running Windows 7, click the "Start" button, choose "All Control Panel Items," select "Power Options" and click "Edit Plan Settings." Click the drop downs for "Turn off the Display" and "Put the Computer to Sleep." Choose "Never" for both and click the "Save Changes" button.

Windows XP:

By default, all laptops either go on standby or turn off to save precious battery, but you can override these rules from the Power Options (XP) in your control panel (Start > Control Panel > Performance and Maintenance > Power Options) and click on Advanced Tab and override the settings according to your preference.

I prefer "Do nothing" while closing the lid. Although this is real simple, few of us might not know it. I

Windows Vista/7:

How to Stop Laptop/Notebook Goes To Sleep or Hibernation when Closing Lid in Windows Vista

1. Log on to your computer as an administrator. Click on Start, go to Control Panel -> System and Maintenance -> Power Options.
2. Click on Change plan settings for the currently active plan.
3. Click on Change advanced power settings link.
4. In the "Power Options" dialog box's "Advanced Settings" tab for the active power plan, expand Power buttons and lid.
5. Expand Lid close action.
6. Change the value to Do nothing for "Lid close action" by selecting a new option from drop down menu for both On battery and Plugged in. Based on own preference, it's possible to set other action from the menu too. Available for selection is Do nothing, Sleep, Hibernate and Shutdown.
   
7. Click OK button.

In that case you aren't actually shutting it down, you are putting it in sleep mode.
In Start > Turn Off Computer window make sure you always click on the Turn Off button but if you're in Vista or 7 pressing Start > Power sends the pc to Sleep by default. To change that to normal behaviour - the Stop button actually stops the pc - follow this:
1 - Open Power Options by clicking the Start button , clicking Control Panel, clicking System and Maintenance, and then clicking Power Options. 
2 - Under the currently selected power plan, click Change plan settings.
3 - In the Edit Plan Settings dialog box, click Change advanced power settings.
4 - In the Power Options dialog box, click the plus sign (+) next to Power buttons and lid to expand the list.
6 - Click the plus sign (+) next to Start menu power button to expand the list; in the Setting list select Shutdown for the Power button. Click OK.