When you are logged on to a Vista Client through a remote desktop connection, you don’t see the option to shutdown or reboot the system within the Start Menu.
But if you are within the remote session and press CTRL+ALT+END you get the following screen
allowing you to Restart, shutdown or putting into sleep the system.
Another option is to enter the shutdown command at command prompt like shutdown /s that will shutdown the system.
I always minimize to the desktop then do “Alt-f4” which brings up the shutdown dialog. Works on XP, too 🙂