Control panel -> power options -> your power profile -> change advanced settings -> PCIe whatever settings are there... Try changing them.
Also open device manager, find your video card, double click it, go to the power management tab (if you have any) and untick the box that lets it being shut off during sleep. You probably won't have a power management tab here, as it's controlled by the above mentioned control panel setting instead.
CPU: AMD Phenom II X4 810 @ 3120MHz | RAM: Kingmax 2x2GB DDR2 800 @ 833MHz| MoBo: MSI K9A2 CF v1.0 (BIOS: 1.D)| GPU: Asus HD 6850 1024MB (DirectCu) @ 835/1135MHz | Display: L24FHD | PSU: PC Power & Cooling Silencer 750 Quad | OS: MS Windows 3.11 Pro x64