When logging out or shutting down your computer under Ubuntu 11.10 Oneiric ocelot, a confirmation dialog box appears asking you to confirm your choice. If you don't like this dialog box to popup, you can easily disable it using Dconf-Tools so that you can quickly shut down or logout.
Install first dconf-tools with this command:
sudo apt-get install dconf-tools
Start it now via the Unity dash and head to:
apps > indicator-session
Then check on this option in the right side of the window:
Changes are instantaneous, no need to restart. From now on, no more popup message will annoy you.