This WIKI page is a good place to start
http://wiki.arcadecontrols.com/wiki/Hiding_WindowsGenerally, you won't want to just "power off" a windows PC. AP Probably would be ok (assuming it wasn't in the middle of a scan with it's DB open and being written too) but XP itself will often have cache files, etc open and being actively written to.
If possible, set the POWER BUTTON to "shutdown" in the XP Power options. This will effectively perform a "shutdown" when you hold down the power button for a second or two.
The only problem with it I've seen is if you hold down for too long, you'll get a hard power off, which you usually don't want.
Alternately, you can launch AP with a bat file, and just waits till AP terminates (ie user closes AP) at which point the next command in the bat file is a shutdown command (there are tons of command line apps out there that can start a shutdown from a bat file.
IF you REALLY want to be able to just "unplug the damn thing

", first, I'd turn off the paging file. Then, I'd probably look into the "kiosk mode" file system driver. Someone here on the boards mentioned that it's available with the Embedded XP dev kit. Basically, once you turn it ON, it effectively make the harddrive "readonly" and all HD mods go to a "ram disk" which is lost when you reset.
But that way, you can't possibly hose your XP install on the HD.
The only drawback is things like saving playlists you might make, that sort of thing....