Actually not wishing to be "The 5th player in a String quartet" here but even with Windows 2000 and XP on a lot of machines if you hit the Power Off button it would do a proper shutdown without having to go through the menu.
Only if you HELD the power button on for about 5 secs (or maybe slightly longer) would it power off at once. (I'm talking about the Power button and not the System Reset one you see on some desktops / workstations).
Most of my current machines do this too -- I think anyway for laptops you can actually set this in the "power options".
I'm often to lazy to trawl through menus to find stuff anyway.