I'm Mikey, new here, just joined up since I'm actually having this very same problem.
Already a little light has been shed on the matter - I'm also using an Asus mobo, a P5B-VM. So I guess it looks as though it might be an Asus compatibility issue?
Someone else put a link up on another post discussing ACPI which might be helpful (I would give credit but I'm not sure who it was now!): ASUSTeK Computer Inc.-Forum- Latest BIOS, Drivers and Utilities for P5B Deluxe [/WiFi-AP] Updated May 5, 2009
I haven't fully read it yet myself, or tested it, but there seems to be a bunch of Windows 7 compatible drivers
and utilities there, updated as of May 5. It's for the P5B Deluxe, so they might not all be compatible with other models, but hopefully some are worth a shot, especially if you're within the P5B range like me.
Having read this thread I'm going to check my power management settings again too, although I do have the power button within the start menu set to 'shutdown'.
Some people offering advice seem to be misunderstanding the problem, so just to clarify...
Windows 7 DOES
shut down. The PC however DOES NOT
turn off - it stays powered up, e.g. fans and lights.
Windows 7 seems very cool to me, but this problem is driving me a bit mental