Not entering sleep mode while MBP's Lid closed while using external monitor?
Yes, it should work without any special extra configurations. You only need to have the macbook connected to an external display and also have an external keyboard (probably it also works without the external keyboard, but what will you do without it :p). If you have the lid closed and macbook is "sleeping", you can wake it up (by pressing any keyboard key) and start using it with the external display without requiring to open the lid.

Cheers!