Holy cow, I wrote a book!
When you are connected to a workstation via Remote Desktop,
the "Turn Off Computer" option changes to "Disconnect".
But what if you really want to turn off the computer,
hibernate it, or put it on stand-by?
Note: These tips work on Windows XP, but there is no guarantee
that they will work in future versions of Windows.
One way to do this is to
run Task Manager and select your shutdown option from the "Shut Down" menu.
Another trick is to click on the desktop and type Alt+F4.
This will call up the shutdown dialog, where you get the usual
shutdown options like "Shut down", "Shut down without installing updates",
"Restart", "Stand by", and "Hibernate".
These next two tricks are documented and will continue to work
in future versions of Windows:
If you're a command line person, you can run shutdown.exe,
but that program supports only shutdown and restart; it doesn't do
stand-by or hibernate.
But the shutdown.exe program has a serious flaw:
It requires you to have administrator privileges.
If you are a limited user with shutdown privileges,
the shutdown.exe program will complain.
(Which means that I don't use it.)
Finally, if your computer isn't using Fast User Switching,
you can type the Ctrl+Alt+End hotkey, which is the Remote Desktop
version of Ctrl+Alt+Del and consequently takes you to a dialog
where you can do various system-type things, among them logging
off and shutting down.