You have two options when using an external monitor (or projector) with a laptop:
1) Mirroring: This is where the exact same thing is displayed on both the laptop's display and on the external monitor/projector
2) Extended Desktop: This is where you basically have two monitors that act as one, big monitor. Move a window off of the screen in the correct direction, and it disappears from the internal display and appears on the external display.
This is controlled via the "Displays" pane of the System Preferences. It sounds like you're using "Extended Desktop" mode.