AUTO TURN OFF ON MODEM?

WHEN I CLOSE DOWN ON WINDOWS XP, HOW DO I MAKE THE MODEM TURN OFF AUTOMATICALLY, I HAVE TO HOLD IN THE OFF BUTTON FOR 5 SECONDS BEFORE THE POWER TURNS OFF. PREVIOUS TO WINDOWS XP I RAN WINDOWS 98 WHICH WAS O.K.THAT WOULD TURN OFF AUTOMATICALLY, IS THERE A PROGRAMME I CAN DOWNLOAD TO OVERCOME THIS PROBLEM