How can I turn off my iPhone?

I turned off my iPhone. Then the wheel started to turn. How can I stop this? When I press both nobs for 30 seconds nothing happens. Please help.

Contrary to Mr. Crooks post, this is NOT normal.  It should spin a few secs and then shut off without needing to connect to iTunes.
Try a reset by pressing the home and sleep buttons until you see the Apple logo, ignoring the slider. Takes about 5-15 secs of button holding and you won't lose any data or settings.  You may need to hold the buttons as long as a minute.
If still a problem, connect to iTunes.  If it's not recognized by iTunes, try Recovery Mode... http://support.apple.com/kb/HT1808

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