I had the same problem, but Mandrake 9.2 has a very simple way to fix it.
Open the Mandrake Control Center.
Type in root password to obtain Super-User privileges.
Click 'Boot' on the left.
Click 'DrakBoot helps you set up how your system boots'
The upper section is called 'Lilo/Grub mode', click on 'Configure'.
Make sure there is a tick for 'Enable ACPI'
Click Ok, and Ok again to retain your multiboot order.
Then click Ok on the same window as you selected 'configure'.
That's it, after a restart Linux *should* be able to power down on it's own.
(of course if ACPI is already enabled then this is not of much help).
Arrowhead, I think 'modprobe' is a command only accessible by root, so if you tried it just logged in as yourself it wouldn't be found. Oh, and 3 iso images on a dial-up... hardcore.
Hope this is of help to you guys.