Terrible things happen if you turn off your PC without shutting down Windows.
Don't touch that switch! According to Microsoft, if you turn off your PC without first shutting down Windows, your hard drive could become more fragmented, files could become corrupted, and you could lose data.
Maybe Microsoft's warning holds some water, but we wouldn't worry about straining the system or harming Windows. We ran 30 iterations of an informal test, turning off a pair of systems running Windows XP without first shutting down Windows. Each time we left documents open in Word, Outlook, and Quicken. And we left our Internet connection up and running.
After we turned each PC back on, we ran Symantec's Norton Disk Doctor and the Windows disk checker to see if the hard drive had suffered any ill effects. We reopened the applications that we had left running and reconnected to the Internet.
Problems? Disk Doctor found no disk errors, and our files were intact--at least up to the last time they were saved, but not always to the point of the last edit made. Outlook recovered without a glitch, and so did Quicken. (We didn't check disk fragmentation because some hard-drive experts told us that defragging today's faster, bigger drives has little to no effect on performance.)
If you're uneasy about just switching off the PC, change the Power Options settings. From the Control Panel, open Power Options, click the Advanced tab, and under 'Power buttons' select Hibernate. Now whenever you push the power button, Windows will save itself in its current state. Turn the computer on later, and Windows will pop up, just as you left it, in a lot less time than the system would take to boot.