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When I login back in Ubuntu 12.04, all my opened files are automatically closed and I have to open it from the first. Why it happens so? Do I need to change any settings? Anyone, please help me to resolve this problem!

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They are closed because you logged out, and any applications that had them open were closed when you did that. – Jazz Aug 6 '12 at 11:53

When you logout or shutdown/reboot, all your open applications/windows are closed first. That's why you have to reopen them when you login again.

Previous versions of Ubuntu/GNOME had an option on to "save session" when logging out, which is what you may be referring to. Unfortunately, this is not currently possible with Unity on 12.04; your best alternative if you need this feature is to hibernate your computer instead of logging out/shutting down.

Please see this answer for more information:

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You will simply use suspend option from setting button (Top-Right corner)

And login is done by mouse movement or keystroke. Such movement will bring login/password interface. Just login again.

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