Never turn off the power button of your computer without first getting out of Windows. If you do, Windows can get a little messed up, and the next time you turn on your computer you will see a notice saying ScanDisk was checking your hard drive for errors as you did not shut down your computer properly last time. It would also say that if you want to avoid seeing this notice next time, you should always shut down your computer properly.
So, what is the proper way?
1. Close ALL your programs you have running in your computer. (You can ignore the ones that are running in the background).
2. Click on "Start", then click on "Shut Down".
3. You will see the "Shut Down Windows" dialog box, which looks something like this:

4. Select shut down (unless you want the computer to restart or go on stand by mode) and click on OK.
5. In a few seconds Windows will shut down. When that happens, in some computers you will get a message saying "It is now safe to turn off your computer", when you can turn the power switch on the computer off. In some computers, the power switch on the computer is turned off automatically and the monitor goes dark. At this time you can turn the power switch on the monitor and the printer off, if you like.