The proper way of shutting down Windows 8 is through the Charms menu, which can be opened by moving your mouse to the top right corner and then sliding down (a horrible gesture), or hitting Windows Key-I (much better). Then just click the Power button and select Sleep, Shut Down, or Restart.
The other option, which I prefer, is simply going to the Desktop and hitting Alt-F4. This pops up the old-school (Windows XP/2000) Windows Shut Down dialog. This method is particularly useful on dual-screen setups, where you will often have the Desktop visible on one of your monitors.