Task Manager appearing depends on older versions dependent on whether the PC was on a domain. If it was you'd get the dialog, if not it would jump direct to Task Manager.

From Task Manager you can still fairly easily shut down if it jumps straight to it.

I don't have an XP/Vista machine to try here, but Alt+<a key> will get you to a menu where you can select shutdown and then maybe you'll have to press enter. If Task Manager appears straight away with Ctrl+Alt+Del it will have a menu to shutdown/restart etc.

You can do almost anything with a keyboard only in Windows.