If you love computer pranks, this is one of the easiest ones to pull. This video will show you how to remove the Shut Down button from the start menu in Windows XP. Actually, it does't remove the shutdown button, it just disables it, giving the user a restriction message, stating "This operation has been cancelled due to restrictions in effect on this computer. Please contact your system administrator."
Go to "Start" and "Run" and type in "rededit" and press "OK" to access the Registry Editor. Find the "HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer" file.
Create a new "DWORD Value" named "NoClose" with a data value of "1". Exit the Registry Editor and reboot Windows XP in order for the change to take effect. From now on, you won't be able to shut down Windows in the normal manner, you'll have to use the "shutdown -r" or "-s" command instead from the Run field.
If you want to reenable normal shutdowns, delete the NoClose value.
Remember: always backup your registry!