The difference is that the volitile memories are kept powered. Your windows sessions is suspended, not ended. So it takes less time to start back up. In sleep mode most hardware is turned off.
Sleep usually shuts down the hard-drive as well. It also shuts down or puts in low power mode many other things like the CPU and video card. Just shutting down the hard-drive only shuts down the hard-drive.
The difference is that the volitile memories are kept powered. Your windows sessions is suspended, not ended. So it takes less time to start back up. In sleep mode most hardware is turned off.