XP hides some system software you might want to remove, such as Windows Messenger, but you can tickle it and make it disgorge everything. Using Notepa

Navigate to your desktop. On the desktop, right-click and go to New, then to Shortcut (in other words, create a new shortcut). You should now see a pop-up window instructing you to enter a command line path.
Use this path in "Type Location of the Item"
SHUTDOWN -s -t 01
If the C: drive is not your local hard drive, then replace "C" with the correct letter of the hard drive. Click the "Next" button. Name the shortcut and click the "Finish" button. Now whenever you want to shut down, just click on this shortcut and you're done.