When it fail to show up safe mode menu, it will continue the process to enter normal mode of windows. During the process (while you can see the progress bar is still running):
Vista progress bar
XP progress bar
switch off your computer, don't let it to enter normal mode of windows.
After that, turn on your computer again, don't need to do anything, just wait the Safe Mode to show up itself. Normally, it will show the menu itself.
However, try this way only if you can't use other way to show up the safe mode menu.