Tip: How do I Shut Down a Virtual Machine? - Windows Virtual PC - Site Home - TechNet Blogs:
Figure 3:� Shutting down the VM
Use Windows Virtual PC functionality
1. On the VM Windows’s toolbar, click Tools menu item, and click Settings in the drop down menu.

The option to shut down was gone after an update, and following the above instructions (changing the "Close" option at the bottom of the settings window to "ask each time") fixed it -- for now, at least.