Since you are new I won't tell you what I tell most noobs with questions like that...welcome to the forums.
Pocket PC phones do not turn all the way off. You can pull the battery out for that...
If you don't want to recieve phone calls the hit the phone icon in the Comm Manager. That will turn off the CDMA radio so the phone and text messages / pix messages won't come through till you hit it again to turn on.
