This is how Windows 7 works, by default "at least for me" it will choose the LAN connection over the wireless when ever it's available. Or I should say it will choose the faster connection or the one with the lowest metric value which is usually the LAN connection but can also be the wireless connection.
I think you meant to say advanced option of changing the metric
, the link below may help you to change the metric so you can change this behavior.
Blog Rat: Forcing Windows 7 to use wired when available
Here is what Microsoft says about using the Metric.
This link has some solutions that might also help.