When I log out from KDE, I'm being transfered to the "Log In" menu.
From there I would like a menu where I should be able to "SHUTDOWN / REBOOT" the computer, but there are'nt any menu items for that.

There's just "SESSION" and one more item. Am I missing something here?

How will I enable this function (I guess it's in KDE)?

You'll need to change from GDM to KDM - make sure KDM is the first Login manager enrty in /etc/rc.d/rc.4 or just comment out the entry for GDM.

I know one solution, even if it's not the most didactic one, i.e. you won't learn so much.

Anyway... Do the following:[list=1][*] If you're already in runlevel 4 skip to second point. In order to change to runlevel 4 edit your /etc/inittab (use your favourite terminal editor, I use vi):
$su
#vi /etc/inittab
go to line 24 and change it from:

id:3:initdefault:
to:
id:5:initdefault:

save the file and exit. Now you have a graphical login.[*] You need to be runnin kde display manager (kdm) so edit your runlevel 4 script /etc/rc.d/rc.4:
#vi /etc/rc.d/rc.4
comment out (inserting a # at the beginning) lines 16, 17 and 18:

# Try to use GNOME's gdm session manager:
#if [ -x /usr/bin/gdm ]; then
# exec /usr/bin/gdm -nodaemon
#fi

make sure that lines 22, 23 and 24 are uncommented:

# Not there? OK, try to use KDE's kdm session manager:
if [ -x /opt/kde/bin/kdm ]; then
exec /opt/kde/bin/kdm -nodaemon
fi

save the file and exit. Now, reboot and you should have a nice kde graphical login.[/list=1]

After all this is done, you should be able to see different options when you try to log out from kde.