In the power settings menu somewhere, there should be a setting "on display close, do..." There should be options for standby, hibernate, shut down, or do nothing.
I set it to "f%^&$&%^king do nothing until I tell you to do something you irritating little piece of crap!"
I follow that up with threats. Opening up your window and dangling it out (ala wacko jacko parenting tip #69) seems to help get the point across, but maybe I'm just imagining that.
Go into power settings. I find it by going to screensaver. In any case, go to the advanced tab under power options properties. On my computer, the setting is under the "power buttons" area.