problems to shutdown

[José Vilmar Estácio de Souza]

Hi all.
Probably this is not the correct place to ask this question, sorry!
To shutdown my machine I press alt+f10 key, chose the device menu, the 
shutdown ... option and then I click in the shutdown button.
Instead of shutdown, my machine logout and login again.
I am running ubuntu 12.04 with all updates.
Am I doing something wrong?
Thanks.