Try this..

In Windows XP, select Start, Turn Off Computer. While the "Turn off computer" dialog box is open, either hold down the Shift key to see the Hibernate button or just press H.

Another way:
Return to the Power Options Properties dialog box and click the Advanced tab. In either the "When I press the power button on my computer" or "When I press the sleep button on my computer" drop-down menus, select the Hibernate option and click OK.