ok, yes, you can do hibernation to disk.
First you must have either APM or ACPI support installed into your kernel. You are going to have to figure out which one of those protocols your computer likes. With that, either do research or just try using one, if it doesn't work, try the other. There is a decent chance that you might have to create a new partition for the hibernation bit to save to. There is a lot of documentation on the web on how to make a partition/what type it needs to be/etc. As for the statement "linux doesn't do hibernation unless you compile APM support in to the kernel," neither does windows. It just has it automatically in there."
As to salparadise's problem with Mandrake not shutting his machine off when it shuts down, I'm confused. I'm assuming that the motherboard is ATX, as apposed to the old AT, or he shouldn't be complaining. The ability to let software turn off the computer was introduced with the ATX configuration. The Linux kernel has supported this feature for a long time now. This includes Mandrake's distro.
Your right, Linux install double click easy to install things, but Mandrake is "rpm -i file.rpm" easy.