Doh! OK, I just realised what you may be missing!!!
In WinXP you need to configure a 'generic UPS' - Control Panel > Power Options.
This is a service that runs in the background and you configure it to have 'positive signal polarity' This means it looks for 5v on pin 8. When 5v isn't there the service closes windows down. This is how UPS's usually work.
That might explain things better hopefully...
If you don't have WinXP, you will need the little program, you linked to above, which works in the same fashion.
P.S. (and I hope not to add to the confusion here)
You could also configure it to 'negative signal polarity', Then it would look for 0v on pin 8 and if it got 5v on the pin *then* it would shut down. (Maybe this way could be used with an alarm system, I don't know)