Welcome to the LinuxQuestions.org forum. I believe, judging by your descriptions, that you are running Slackware (also because it's your first distro at your list...ghehe). Remember to tell us which distro you are trying to do an specific stuff, because it can be distro related. Well, if it's slackware, it's because a module is not loaded by default, which is the one responsible to totally shutdown the computer. Do this:
shutdown -h now
If it works, you could:
1 - Always load that module before shutting down, or
2 - Add that line (modprobe apm) to your /etc/rc.d modules (the path may be wrong, I'm on another distro right now, but should be somewhere around there. If you don't find, let me know and I boot into Slack).
A suggestion, a little unconnected though. At this forum, if you click at the button cp up there at the homepage, you can edit your "Distribution" field, placing one space after each comma. That would make your threads look nicer. Eg:
1 - You are using:
2 - It's better to:
Slackware, Vector, Redhat, Mandrake, Debian
Good luck and Happy New Year!