MacBook Pro using external monitor.

I have a MacBook Pro running Catalina OS. I'm trying to use an external monitor (VGA to HDMI cable) and close the MacBook display using USB keyboard and mouse. When the MacBook display is open the external monitor and the MacBook both display the desktop.

But when I close the MacBook display, the external monitor turns off because MacBook goes to sleep.

My question is how do I stop MacBook from going to sleep when I close the MacBook display?