In Control Panel look for the “System and Maintenance” group.  Select “Power Options.” In the list of “Preferred plans,” click on the “Change plan settings” link.

In the “Change Plan Settings” dialog box which appears, click on the “Change advanced power settings” link.

In the dialog box which appears, expand the “Power buttons and lid” branch, and then expand the “Start menu power button” and in the drop-down list of options that appears, select “Shut down.”

Click on the [Apply] button, then click on the [OK] button. Close the remaining windows to exit the control panel applet.

Now next time you select Shutdown in the Start menu, the default action for the Sutdown dialog box will actually be Shutdown.

I'll take some screen shots when got a little more time.