On the Mac, (without taking extra steps, as below) buttons never have focus -- the blue is the default button (not focus!), which is something that is defined by the application, not the user. The default button generally does not change within a dialog.
In this case, there are keyboard shortcuts: type R to restart, Esc to cancel, S to sleep, and of course Return or Enter to shut down.
Anyway, it is possible to create keyboard navigation of buttons in dialogs by checking the "Turn on Full Keyboard Access" checkbox in System Preferences->Keyboard and Mouse->Keyboard Shortcuts.
Focus, on the Mac, is shown by a fuzzy blue halo around the control in question -- the blue default throbbing will not move. Tab moves the focus.
tooki
P.S. What you are calling a "pop up menu" is a "dialog box". A pop up menu is an actual menu, but one that is not the menu bar, i.e. the menus on web pages, like the quick jump menu here on MacNN forums.