For the fatalities, practice is perfect. Don't press it too fast, or too slow.

For the power-up, it makes your attacks MUCH stronger. For some characters, like Nitara, power-up is great. If you do her 1, 1, 1, 3, 3 combo in Fu Jow Pai while in pwer-up, it does insane damage.

you dont even need to switch to fatality stance when it said finish him. it just stops you from moving. if you still cant do it. look for the slip you got when you bought the game, take the cd out of the cd tray and put it back in the box. and take it back to the shop and trade it in for another game. maybe something puzzle bobble or something.