Question about Sleep and internet connection

When my computer goes into sleep, do I lose internet connection?

I think it has been doing so, because I been trying to access my desktop remotely and if I leave it idle too long before I connect, it shows as if it's offline.

How can I change the settings so it's still locked so I have to type password to login and it going to sleep without losing internet connection?

When your computer goes to sleep it effectively shuts down. Your network connection will be dropped because power to the interface is dropped. I doubt you'll be able to change that, closest thing would be Wake On Lan probably.

Do you think it will work, if i put "Sleep" on Never, and just lock it so user would have to input password to log on?

that will work, it'll just be up 100% of the time.