draw only king left

In my second game of chess here on the computer I took all of my opponents pieces except for the king.  Instead of letting me hunt the king down and put him in check mate or even giving up, the computer said that the game was a draw.  Is that right?  Is it a draw if I keep my king out of check while all my other pieces are taken?

It is a draw if you cannot move and your king is not in check.

And this is called "Stalemate".

There's a couple of possibilities here:

1. As ivandh mentioned, if you do not leave your opponent a move, but you're not putting him in check when you do so, then the result is a specific type of draw called a stalemate.  An example is shown in the diagram at the bottom.

2. If you run out of time and your opponent has "insufficient material" to achieve a checkmate, then the result is a draw as neither player can win.