Windows Vista doesn't shut down the machine by default when you press the power button. Additionally, if you look at the bottom of the start menu you'll see this:
The button on the left, highlighted here in bronze, does NOT turn the machine off in Windows - it suspends it, which requires power. When the battery runs down, the power goes out and you get this message the next time you start up.
Some laptops also indicate suspend mode by flashing the power light.
Happily, if you click on the little right facing arrow a menu pops up, one of the options of which is "Shut down" and this will bring Windows down properly and fully.
You can also change the function of the power switch (which defaults to suspend, NOT shut down) by going into the power options from Control Panel:
Selecting one of the above options will allow you to set the power button and closing the lid to turn the machine off fully, not suspend it.
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