Do you have any programs running at the time? For example, I believe when WinAmp changes songs, it'll turn the monitor back on.
What you could do for now, is go into the Power Options Menu (Start > Control Panel > Power Options > Advanced Tab) and select "when I close the lid of my portable computer, do nothing." Then you can just close your computer, and it'll stay on, and your programs or whatever will stay on, but your monitor will shut off. That's how I have it set, and it works nicely.