1. Your notebook has to be ACPI compliant - meaning it can shut itself down
2. Reinstall any power management software from Dell's website (model specific)
3. There is a registry hack - can't remember what the key is called.. try searching for "powerdownaftershutdown".. if that doesn't work, try just "power" or "shutdown".. I think it's a simple change from YES to NO.. or something like that. It's been years since I used Win95. Reloading Power mgmt software normally makes this change for you.
Hope that helps.