The way I read your post, it could be referring to two different things.
If you happen to be referring to power options in control panel make a shortcut to
"C:\Windows\System32\cmd.exe" /k %windir%\system32\control.exe /name Microsoft.PowerOptions
Name your shortcut Power Options
On desktop right click on the shortcut you made and change its icon (otherwise it will look like a regular cmd icon)
Then right click on the new icon and select pin to taskbar, delete icon from desktop if you wish
If you are referring to Power Menu there's no way to get the entire power menu in one shortcut that I've been able to find.
@JMedlock83 suggestion will only shut the computer down.
I had to make 3 separate shortcuts on my desktop. Restart and Shutdown can be pinned to the taskbar, Sleep cannot.
If you want icon for RESTART make shortcut to
C:\Windows\System32\shutdown.exe /r /t 0
Another shortcut for SHUTDOWN is
C:\Windows\System32\shutdown.exe /s /t 0
Making a shortcut for SLEEP is not as straightforward but with the help of
@SlicEnDicE I was able to do it. You can see that post
HERE.
To accomplish this, Unzip the 2 attached files. Copy the sleep.bat and sleep.vbs to the root of your C: drive
On desktop make a shortcut to
C:\Sleep.vbs name it Sleep
Give it a new icon. Due to Windows restrictions you will not be able to pin this one to your taskbar.
(If you want to view the contents of the files open them with notepad)
If you don't want to mess with a bunch of shortcuts you can access the power menu with keyboard shortcut Win key+x