Okay, Control Panel then Power Options. From there it should give you a list of available power plans, whichever one you are using click the Change Plan Settings. From the menu it provides you should see Change Advanced Power Settings and inside of there you will see a listing of different power management categories. Select power buttons and lid and make sure the option for "Lid Close Action" is set to "Do Nothing" for whichever is appropriate (either On Battery or Plugged in, or Both). If you already did this, make sure it was performed on the correct Power Management Plan (the one you have it set on and use, I cannot recall but it may switch power plans when disconnecting/connecting the power plug).
Also I was just thinking, make sure you set it to display only on the externals (usually some sort of function key, mine is F1 but I have seen F5 before, usually looks like a button with a laptop screen and a regular screen). If you have it set to display on the laptop it may cut the signal off to the monitor as well (when set on do nothing and closing the lid it will not sleep or hibernate the computer but it does still cut off signal to the laptop screen, no point in it being on while the lid is closed).