Shutting down a Windows 8 device doesn't work the same way that it did in previous versions of Windows. There isn't a Start Button anymore, so you'll need to bring up the Charm bar instead. Open it by moving your cursor to the bottom right corner or swiping from the right side of the screen. Click the Settings icon, then click the power icon, and choose Shut Down. There are also options for restarting (which applies updates) and sleep mode.
You can also use the keyboard shortcut of pressing the Windows key and the I key at the same time to bring up the Settings menu.