To create a shutdown shortcut on the desktop

WindowsXP has a program called SHUTDOWN.EXE which allows you to easily create icons to shutdown or restart your computer.

To create a shutdown shortcut on the desktop:
Right click on an open area of the desktop
Select New / Shortcut
Enter in "shutdown -s -t 00" - (no quotes)
Press the Next button
For the name, enter in anything you like. I just use shutdown. Click the Finish button.
For a reboot, enter "shutdown -r -t 00"
Shutdown [{-l|-s|-r|-a}] [-f] [-m [\ComputerName]] [-t xx] [-c "message"] [-d[p]:xx:yy]

Parameters:

-l - Logs off the current user, this is also the defualt. -m ComputerName takes precedence.
-s - Shuts down the local computer.
-r - Reboots after shutdown.
-a - Aborts shutdown. Ignores other parameters, except -l and ComputerName. You can only use -a during the time-out period.
-f - Forces running applications to close.
-m [\ComputerName] - Specifies the computer that you want to shut down.
-t xx - Sets the timer for system shutdown in xx seconds. The default is 20 seconds.
-c "message" - Specifies a message to be displayed in the Message area of the System Shutdown window. You can use a maximum of 127 characters. You must enclose the message in quotation marks.