When you close the lid does your laptop go to sleep?
You've checked the Power Settings and under Power Settings -> "Power buttons and lid" you made sure you have sleep under lid close action?
Well then, there’s is one more option to check.
Apparently Windows Vista has a bug. Under the Power Settings, once again go to "Multimedia settings" and
under "When sharing media" make sure you have "Allow the computer to sleep".
If that didn't help maybe have a hardware problem with the close lid switch.