shutting down your 6700

[nasa1303]

ok, i haven't had my 6700 very long but i was using the touch before. i use to shut down/turn off my phone at night so there was no alarms or reminders waking me up. i can't seem to truly shut down the 6700. it only goes into airplane mode when i hold down the power button. i know ive heard people talking about a shut down app that looks like your xp computer shutdown choices. what is the name of that program?