Small added benefit, presumably it's harder to accidentally run a multi-line multi-stage command because you had the wrong thing in your clipboard (I don't have my windows PC handy, but if you paste multiple lines into Win+R it doesn't execute anything, correct?)
Windows + R
(type) shutdown /s /t 0
Enter
The /t is a time flag and you can abort scheduled shutdowns with the /a flag. Handy if you know your Windows machine will be finished with a task in 10 or so minutes but you need to leave - just set a timer for 1800 seconds and Kazaa will be done with its download ;).
That might maybe work most times, but when your network speed suddenly changes or the downloads is aborted it fails. Far better is just telling your computer that you want it to shutdown after the download finished:
wget ... && shutdown now
As such I usually set my timer 3x what it needs to be (e.g 1800 for a 10 minute) and it's always had a high chance of working.