When I choose 'sleep' on winxp, my computer fan would turn off and absolutely no noise is heard afterwards.
However since I upgraded to Win7, 'sleep' does not sleep the comp. The monitor goes blank but the fan is still running.
To me, it sounds like your sleep mode is set differently. I can't know for sure, but I would go into the BIOS and make sure it is set to S3, and not S1. I would guess you could check the power options in Windows as well, but I can't think of why these would not sleep if told.