Close the lid and keep running my applications

I just got my XPS M1210 (Nvidia video), I have a 20" monitor and USB mouse and keyboard so what I want to do is able to close the lid on the laptop and keep running my apps. I've read posts about and option in Control Panel > Performance & Maintenance > Power Options > Advanced and look at the option "When I close the lid of my portable computer". I have already set it to "Do Nothing", clicked  Apply, even restarted the laptop but still, when I close the lid it goes to Stanby Mode every single time!!. Any hints?

By the way, Dell Support s!. I've been on the phone for 45 minutes now!, time enough to google this issue, looked at the results and get resgistered on this forum so I can post a question. While on the line I'm told to go to XPS chat but since I bought my system in Cananda that option is not availabe!!.

Thanks in advance for any help
Bruno