If :
a) Your computer doesn't shut off if you hold down your power button for 6 seconds it might not be connected, or the power supply may be broken.
b) If you can shut down the computer using the power button like a but windows doesn't want to shut down it can be a problem with some software you're running. Try in failsafe - if it can from there, try msconfig and disable everything that starts up - enable a few at a time till it doesn't allow shutdown anymore.
c) If you can shut down by using the power button but not the start menu shutdown try with start - run - shutdown -s -t 0 ; should that work it can be some software problem with software (xp most likely)
d) If Windows Vista/Windows 7 make sure default power action is shutdown and not some sleep state or use the arrow to the right and choose shut down.
e) If something else is wrong you might want to write more than 5 words ..