Hibernate option is not available by default in Windows XP. Follow this instructions to make Hibernate option available in your Turn Off Computer dialog.
Please note that in order to use Hibernate, the S4 System State (Hibernation) must be supported by your computer's ACPI implementation, othewise you cannot do anything about it.
Go to Start → Settings → Control Panel. Make sure to open the Classic View, and open Power Options:
When the Power Options Properties dialog appears, check if there is a tab labeled Hibernate. It should be the last one:
If you are not able to see the Hibernate tab, then Hibernation is probably not supported in your computer...
On the other hand, if you have a Hibernate tab, that's good news. Open the Hibernate tab and make sure to check the Enable Hibernation checkbox:
Click the Apply or OK button to make the changes take effect.
Now, the next time you want hibernate, in the Turn Off Computer dialog, press and hold down the Shift Key. The Stand By option will change to Hibernate whilst you hold the Shift Key pressed:
With the Shift Key down click on Hibernate.