Do you mean "hybernate" or "system standby"? If so, to to "my computer", click on "control panel" then "Display", "Screen saver" then "power". At that point you can either change power schemes or...
..if you shut off your computer.... you shut off windows along with it. Explain to me how you would shut down vista after your computer is off. That's a question worth asking on this site. The answer...