Haha! That sounds exactly like the reason I would want something like this. At work, I'm still using Win2K, and I know that to shut down, all I have to press is "Start Key > up arrow > enter > enter" and it'll shut down (if that was the last item selected from the list, of course).
Tony, are you sure you have to press the Alt key? You could try just pressing U. I think that works too. It's not as good a target as the return key, but it works.
I wonder if there's a way to switch that option screen from the three icons to the drop-down box like in Win2K. I'm pretty sure it switches to it if you use the classic view for XP, but I wonder if there's a way to change that independantly...
Anyway, I'm glad you found a solution.
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Matt