My optical mouse stays on ???

Hello, I recently built a system,AMD Athlon 1600+ xp on an Azus Motherboard,now when i turn the system off the mouse stays lit?? why is that? I’m runnig winxp pro.
My friend is also having the same problem with an AMD Athalon 1900+ xp he is runing win98 on it??
Please help!
Thanks once again!