Have you tried to shut it fully down by holding the power button down till it goes off (forced shut off?)

That should keep it off - and maybe it behaves after you start it up afterwards - give it a shot

Yes, only like that it would be turned off, but it doesn't matter in windows or mac os, when I choose shut down, it restarts itself, it is the First time that I'm facing such a problem.

Could be a permissions issue.

Insert your OSX install dvd and hold option on startup or when it restarts.

You will have the option to boot from HDD or DVD choose DVD.

Once it loads (may take a few minutes) select disk utility.

*You may have to select a language or something.

In disk utility select you HDD and then you can "check disk permissions" and "repair disk permissions".

This may be the reason it keeps restarting when you shut it down.

It also could be a pending install of an update that is corrupt, but this should correct that issue.

If not let us know.

Good Luck!

-Varsity

Try typing in the command-line:

sudo shutdown -h now

Sounds like a permissions problem though.

Could it be a battery issue?

May be a battery calibration will help.