Failure to shut down when using sleep

I have Windows 7 Ultimate 64 bit. When the computer goes to sleep, it wake up just fine and everything functions as it should. However, when I try to turn the computer off (via the start menu), the monitor shuts off, but the computer is still receiving power. I have to manually hold the power button on the case to shut the computer down.
If the sleep mode is disabled, I have no such trouble with shutting the computer down. Obviously, the problem seems to be related to the use of sleep mode. What exactly can I do.

Hi redBrick and welcome to Windows 7 Forums

By default, the action of the Start Menu Power Button is Sleep. You can change this to whatever you want by following this Tutorial:

http://www.sevenforums.com/tutorials/850-power-button-start-menu.html

Thanks for the manual Dwarf, but I have Shut Down as the action on the Start Menu Power button.
The system actually starts shutting down, and I believe finishes (as it says on the monitor), however when I expect all the lights on the case to go out, they don't. Something is still seeking power.