Both Vista and Windows XP let you take control of preventing a user not to shutdown the machine by editing the group policy. For example if your friend is using your computer and you went somewhere ( and you have still some unsaved document left) and he shutdowns the pc without saving them…you loose a good amount of data. ( Trust me I have lost one whole blog post and project code at same time ). This is what you can do

Restrict PC Shutdown

• Type gpedit.msc in run dialog box [ WIN KEY + R ]
• This will open Group Policy Editor. Now there are two things in it, Computer Configuration and User Configuration
• Click on User Configuration > Administrative Templates > Start Menu and Task Bar
• Now look for “remove and prevent access to shutdown command”
• Double Click and Enable it.
• Exit the group policy editor.

This setting removes the Shut Down option from the Start menu and disables the Shut Down button on the Windows Security dialog box, which appears when you press CTRL+ALT+DEL. This setting prevents users from using the Windows user interface to shut down the system.

Now if you try to shutdown by clicking on start , the shutdown button must have disappeared. Moreover check the task manager and you will find all shutdown,restart and others disabled except switch user.UPDATE: New article written on Vista Tricks and Performance ( Click to read)