Safe Mode

I am using XP Pro and when I attempt to connect the printer USB cable to the computer (after starting the install cd and was directd by the cd to connect the USB cable) the screen goes to blue screen.

One of the suggestions was to install the printer software while in Safe Mode. Per the instructions on the Dell Help I can go to Start — Select Shutdown and then select Safe Mode from there.

I cannot find the Shutdown option after start – I do have the Turn Off Computer option – but I cannot select the Safe Mode option-

Where can I set it up so I can select Safer Mode?