Windows XP has the option if you go into Control Panel ->Power Options->Advanced.
You'll see a drop down that says "When I press the power button on my computer:"
You can set that for shut down.
I cut the power connector leads and wire them to a momentary button put in an inconspicuous place on top of the cabinet. I prefer a smaller, recessed button, but you can even use an arcade button if you want.
Its a little more work than your shortcut, but it gives you one button power up and down.