If they mean you to extend the amount of time your router stays connected, then some routers have two options:
1. "Connect on demand", you usually choose a number of minutes/hours you want your connection to stay live.
2. "Keep Alive", were the connection is live all the time.
These settings can be accessed via your router's configuration page.
If it's a setting within your weeeeee then I'm lost, never had one (not a gamer).