This solution is for Windows Vista, if you are using some other Operating system please let me know about it.
1) Go to start and type in the search box Power Options hit the enter button
2) On the Left side there is a panel Click Change when the computer sleeps
3) Click the drop-down box which says Put the computer to sleep and select Never
4) Click Save changes
Option 2 :
Following solution is for vista, incase you are using some other operating system please let me know.
Look at the following pictures, there is a small arrow on the right, click the same arrow from your Start menu and select Shutdown button as shown in the picture below.
Following picture is of sleep mode.
Following picture is of shutdown mode
Incase you have classic vista menu, please do the following.
For further reading please go through the following link.
This solution is absolutely free.
If not resolved, please post a comment and let me know, so that I can research and provide you with a better solution.