are you using xp or vista??
either way try control panel power options there should be a tab for it
Vista... its in the subject line
Vista isn't keen on Tabs, its easier to use individual menus.
Right click your desktop, click "Personalize"
Select "Screensaver"
At the bottom, there is a "Create Power Settings"
Select your current plan, and click "Change"
Hibernation is in there, under Advanced.
It seems that Microsoft is no longer greatly suggesting that you shutdown, but that you put your computer in sleep, unless you have a laptop running on battery.