Under XP, 2003, etc if you happened to click on the Shutdown command it would ask for confirmation. Vista doesn't do this.
Considering the stupid number of ways to shutdown the computer on the menu, I've found that every so often I accidentally click on the wrong one.
Is there anyway to turn on a confirmation box?
Try running gpedit.msc and navigate to Computer Configuration, Administrative Templates, System and look for a setting called Display Shutdown Event Tracker. If you set this to Enabled then it will ask you for a reason before allowing a shutdown or restart.
Not quite the same as XP used to do, but at least it offers some protection from those accidental shutdowns.
Try setting your Start Menu Configuration to Classic-Style.
Not the "right" way to do it but it works :)