It depends on what type of OS and laptop you have. Check to see if you have a blue Fn key for Bluetooth. Then just press the Fn key and the Bluetooth key down and it should turn it off or on. If you are using XP then go into Device Manager (probably the same with Vista but I have not used it yet).
Start> Control Panel> System> Hardware tab> Device Manager> right click on Bluetooth> select disable.
Another things you can do to save power are turn the brightness down on the monitor with the Fn key and turn wireless off with the Fn key.
If you have any problems with this post more details of your system so we can help.