There are different levels of sleep (S1 thru S5) so it's definitely possible.
There should actually be settings in your BIOS, listed as
ACPI, that will limit which sleep states are allowed on your machine.
Then in your device manager you will find some devices where you can prevent them from going to sleep or set them to wake the computer (the most common is to prevent your network card from sleeping and to allow the mouse to wake the computer)
There are also settings in Control Panel > Power Options ... Advanced configuration and it's quite possible you do not allow hibernation anymore so set those as desired.