Question: When I am downloading large files I need to stop my phone from sleeping , how do I keep my wi-fi on when the phone is in sleep mode.

Answer: 
Go to: Settings > Wireless & networks > Wi-Fi settings.

Hit your Menu button and select Advanced. You should now see an option for changing the Wi-Fi sleep policy.
For Android 4.0 (Ice Cream Sandwich) and later upto Android 5.x (Lollipop)

Goto: 

> 
> Settings > Wifi > Advanced (from options menu) > Keep Wi-Fi on during sleep > Always
> 
> 
> 

For previous versions of Android(i.e. 2.x) please consider Rohan Singh's answer.