power off, but power on again

When I shotdown my computer from start menu, it shows "it's safe to turn off your computer now" like in the win95, 98, not like win xp the power goes off automatically. I have to hold the power buttom for 5 seconds to power off the computer, butt it automatically power on in two minutes again.

btw, my computer is PII 350Mhz, I upgraded from win98 to xp pro, the problem starts.