Is there a way for saving a session in 11.04 ?
No, this feature was dropped: http://www.linux-archive.org/ubuntu-desktop/478109-gnome-session-saving-dropped-natty.html
There is a bug filed for this (so, someone might be willing at some point to restore the feature): https://bugs.launchpad.net/ubuntu/+bug/773688
But from my own experience, the feature was completely unpredictable: even the File Manager windows were not always restored and those restored were at different spaces/positions etc.
This setting is still available in the configuration editor. (Open dash, type
gconf-editor and it should show up).
Now, you need to navigate to
When you autosave your session, you do not have to do anything afterwords (like loading a session file in nautilus). It will automatically save the programs you have running as startup applications.