What brand, model and firmware version is your router? Many cheaper routers do not support WiFi PSM and will never allow the device's radio to sleep, no matter what settings you enable or disable on your device. Sometimes (though not often) these issues can be fixed by updating the firmware on your router, but if not the only way to solve it is to buy a router that properly supports WiFi PSM (the vast majority of the non-bargain bin models—WRT54GL is a decent choice these days, or any other model supported by the Tomato firmware).