Novice needs help with basic question

Just bought my first laptop off Ebay (D600 Latitude) which didn't come with the help manual (but have downloaded it off the net) but I need help with a basic question which I couldn't find the answer to. Can you keep the laptop running even when you close the lid. I do a some downloading and just want to keep it running without having to have the screen up. At the moment when I close the lid, it goes into the screen when you logout as a user (win XP). It doesn't shut any of the programs down that I was using when I closed the lid but it seems to stop my broadband connection. As soon as I log back in my connection picks up again and continues downloading. Can anyone help me?

 

if your on vista, all you have to do is go on

control panel: power options: system settings, then change the settings so that it says "when close lid do nothing"

 

(you can go to system settings by clicking the option on the side panel that says "choose what to do when i close lid" or something like that

 

properties > screensaver> power>advanced , choose from drop down what you want to do . xp