This feature is called hibernate, this is where the OS writes the contents of RAM to the hard disk and turns off the computer. Then when you turn on the computer again, you are able to continue where you left off.
The advantage of this using hibernation over the standard shut down procedure should be clear. Although, I would recommend that you reboot every few days just to allow Windows to perform some house keeping.
To put your computer into a hybernation state, under the Start menu select 'Turn Off Computer'. When you see the dialog with the 'Stand By', 'Turn Off', and Restart buttons, hold down the Shift key. The 'Stand By' button will change to Hybernate.
This doesn't happen you have to turn on this feature:
- Open the 'Power Options' control panel.
- Click on the Hibernate tab.
- Check the 'Enable hibernation' checkbox.
- Press the OK button when done.