XP shuts down, harddrive stays on

I have an AMD 800Mhz processor on a AZZA KT133TX ATX mother board. The bios seems to be set up fine. I just loaded XP PRo Sp2. When I shut down, XP is shutting down, the monitor shuts down but the MB is not shutting down. The power light on the hard drive is on and the fans still run. At this point I have to hold down the power button for 5 seconds to shut it completely off. I can only find bios updates for Win98. MB not compatable with XP maybe?