I had a similar problem when I first used Vista until I learned that by default Vista’s power button on the desktop does not shut down the machine, but puts it into sleep mode. The power switch might also be configured for sleep mode instead of shut down. If power to the computer is disconnected while it’s in sleep mode you would get the improper shutdown warning next time you turn it on.
Open Control Panel and look in Power Options. It has settings for whether the computer will sleep, hibernate or shut down. Or click the Start button on the desktop, look in the very bottom right corner of the menu and click the little arrow there. It will give shutdown options.