Go read Eric's articles, then just look at this dialog box, which is what OS X shows you when you hit the physical power button
Say your a Windows and you are gunshy about using the physical power button it never does what the user wants and is vendor dependent. In OS X you would click the Apple Menu, the blue Apple in the menubar) where anything "System related" is and you would see the following
I had a related reaction to as Eric when I tried to restart Vista, you have to click the little right arrow next to the lock button to see, drum roll please, a menu!
In OS X, you actually can't change from System Prefernces what the physical power button does when it's pressed, I don't know about fiddling with preference files in Terminal, but why would you bother when OS X already asks you what you want? I could go on about how needlessly complex Vista's power management "options" are compared to OS X, but it is hard to find joy in making fun of the handicapped.