Go into BIOS, under the Power management section.
In there somewhere should be an option to enable KB-ON or something like that. Maybe check your motherboard manual for precisely where this would be.
ATX power supplies are always on. When you press the power button on the front of your case, you're sending a signal to the power supply to power on the system. The supply was already receiving power though.
With the Keyboard power-on option enabled in the BIOS, the keyboard is kept powered when the PC is shut down, so that a keypress will turn on the computer.