Many programs have the option not to allow your computer to go to sleep while the program is in operation, especially high end graphics applications and video processing applications.
However such options are not available with Windows Explorer, elderly cripple that it is, and with Windows you don't have any options for different file managers. In that case, go into power settings in the control panel and set your computer never to go to sleep or power down unless you tell it to when it's on AC power.
Friends don't let friends use default settings for their operating systems!
