To the best of my knowledge, you can't prevent a MacBook from sleeping when you close the screen. But try asking in the MacBook forums; perhaps someone there will know of a hack or workaround.
Your MacBook does not shutdown, it merely goes to sleep. You can prevent sleep with the lid closed by connecting a USB keyboard or download a freeware utility, Insomnia, from www.macupdate.com.
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Correct me if I'm wrong, but does not a MacBook still go to sleep when you close the lid, even with a USB keyboard connected? Unless the behavior is different from PowerBooks, it will still sleep, but you can then wake the system up from the keyboard. The effect may be the same for most purposes, but I just want to confirm the behavior; it might surprise someone who doesn't expect their system to sleep just because a keyboard is connected.
Now the way it is worded suggests that you need all three devices to use the MacBook with the lid closed. I also checked Help and it, too, states you must also connect an external monitor. I'm not sure if that's necessary as I have no way to test it presently.
Yes, I know; unlike the iBook, you can use a MacBook (and MacBook Pro, of course) with the screen closed, just as has been the case with a PowerBook. But the thing I'm trying to point out is that, unless I'm mistaken about the MacBook which may have different behavior, it will still go to sleep when you close the lid, even with an external keyboard and monitor connected. You then have to reawaken it. So unless it's different in a MacBook (which it may be), I just point that out so a user isn't surprised when they close the screen and the Mac goes to sleep even though an external monitor and keyboard is connected. In most cases it's not a big problem since the user can wake the MacBook back up again, but it may cause some interruption in processing.