I have recently recovered an old PC which I was able to install windows XP. When I close down windows it leaves me with a screen that says 'it is now safe to switch off your machine', and I have to press the on button for about 4 seconds. The psu is a switching unit, and I would expect it to also turn off the power. It must be something in the setup that I have not switched on, but I cannot think what.

   I don't think that you will find anything in setup to change that.  My guess is that it has more to do with it being an old computer and thus is not able to shut itself down like the newer computers.
   If that is not the problem, that question was asked before here and solutions were given at http://www.regvac.com/m-1159722979/

Found Advanced Power Management not switched on, It now switches off properly Thanks anyway.